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The Relationship between Trading Volume, Volatility and Stock Market Returns: A test of Mixed Distribution Hypothesis for A Pre- and Post Crisis on Kuala Lumpur Stock Exchange
12 references·2 citing·47 second hop
The Relationship between Trading Volume, Volatility and Stock Market Returns: A test of Mixed Distribution Hypothesis for A Pre- and Post Crisis on Kuala Lumpur Stock Exchange (2005)The Relationship between Trading Volume, …Trading volume and stock market volatility: The Polish case (2003)Trading volume and stock mark…Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents (2002)Dynamics of price and trading…Stock returns and volatility: Evidence from the Athens Stock market index (2001)Stock returns and volatility:…Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market (2001)Intra-day seasonalities on st…Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange (2000)Trading volume and autocorrel…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Volume‐volatility relationships for crude oil futures markets (1995)Volume‐volatility relationshi…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…ARCH modeling in finance (1992)ARCH modeling in financeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Modeling volatility on the Karachi Stock Exchange, Pakistan (2016)Modeling volatility on the Ka…Stock Market Volatility and Equity Trading Volume: Empirical Examination from Brazil, Russia, India and China (BRIC) (2015)Stock Market Volatility and E…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Prospect Theory: An Analysis of Decision under Risk (1979)Continuous Auctions and Insider Trading (1985)Prospect theory: An analysis of decision under risk (1988)Stock market returns in thin markets: evidence from the Vienna Stock Exchange (1997)The Determinants of Conditional Autocorrelation in Stock Returns (2003)Modelling Realized Variance when Returns are Serially Correlated (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Price Variability-Volume Relationship on Speculative Markets (1983)Regional Disparities in the European Union: Convergence and Agglomeration (2005)Do Eurozone Countries Cheat with their Budget Deficit Forecasts? 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(1980)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets (2006)A note on the relationship between market efficiency and adaptability – New evidence from artificial stock markets (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Chapter 49 Arch models (1994)Idiosyncratic Risk Matters! (2003)Trading volumes and transaction costs in the foreign exchange market (1999)Intraday volatility interaction between the crude oil and equity markets (2015)The historic oil price fluctuation during the Covid-19 pandemic: What are the causes? (2021)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1995Volume‐volatility relationships for crude oil futures markets163 cited
  • 2002Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents133 cited
  • 2003Trading volume and stock market volatility: The Polish case112 cited
  • 2000Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange78 cited
  • 2001Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market57 cited
  • 2001Stock returns and volatility: Evidence from the Athens Stock market index49 cited

Cited by

  • 2016Modeling volatility on the Karachi Stock Exchange, Pakistan26 cited
  • 2015Stock Market Volatility and Equity Trading Volume: Empirical Examination from Brazil, Russia, India and China (BRIC)

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25 cited