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Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets
16 references·16 citing·36 second hopsampled
Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets (2000)Does Trading Volume Contain Information t…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Confucianism and D&O insurance demand of Chinese listed companies (2023)Confucianism and D&O insuranc…Stock returns, trading volume, and volatility: The case of African stock markets (2022)Stock returns, trading volume…Trading volume and stock returns: A meta-analysis (2021)Trading volume and stock retu…S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA (2020)S&P BSE Sensex and S&P BSE IT…Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis (2017)Baidu news information flow a…Baidu index and predictability of Chinese stock returns (2017)Baidu index and predictabilit…Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016)Stock Market Autoregressive D…Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach (2015)Testing and modeling jump con…Can US economic variables predict the Chinese stock market? (2012)Can US economic variables pre…The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests (2009)The random walk hypothesis fo…The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market (2009)The Empirical Investigation o…Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia (2007)Causal and Dynamic Relationsh…Price and volume dynamics in second-hand dry bulk and tanker shipping markets (2006)Price and volume dynamics in …China financial research: A review and synthesis (2006)China financial research: A r…The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges (2005)The Effectiveness of Price Li…The Chinese stock exchange market: operations and efficiency (2004)The Chinese stock exchange ma…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)The Efficient Market Hypothesis and Its Critics (2003)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Oil and the Macroeconomy since World War II (1983)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets

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1,450 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • Cited by

    • 2006China financial research: A review and synthesis73 cited
    • 2012Can US economic variables predict the Chinese stock market?69 cited
    • 2004The Chinese stock exchange market: operations and efficiency69 cited
    • 2017Baidu index and predictability of Chinese stock returns68 cited
    • 2009The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests66 cited
    • 2005The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges66 cited
    • 2007Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia57 cited
    • 2017Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis56 cited
    • 2020S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA48 cited
    • 2022Stock returns, trading volume, and volatility: The case of African stock markets41 cited
    • 2021Trading volume and stock returns: A meta-analysis40 cited
    • 2006Price and volume dynamics in second-hand dry bulk and tanker shipping markets40 cited
    • 2016Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression36 cited
    • 2015Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach35 cited
    • 2009The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market32 cited
    • 2023Confucianism and D&O insurance demand of Chinese listed companies28 cited