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An empirical investigation of trading volume and return volatility of the Taiwan Stock Market
16 references·4 citing·31 second hop
An empirical investigation of trading volume and return volatility of the Taiwan Stock Market (2001)An empirical investigation of trading vol…Common Persistence in Conditional Variances (1993)Common Persistence in Conditi…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Modeling The persistence Of Conditional Variances: A Comment (1986)Modeling The persistence Of C…Cross-Security Tests of the Mixture of Distributions Hypothesis (1986)Cross-Security Tests of the M…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa (2017)The Relationship between Stoc…Stock Market Volatility and Equity Trading Volume: Empirical Examination from Brazil, Russia, India and China (BRIC) (2015)Stock Market Volatility and E…Does volume provide information? Evidence from the Irish Stock Market (2005)Does volume provide informati…Asymmetric responses of international stock markets to trading volume (2005)Asymmetric responses of inter…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)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)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Using daily stock returns (1985)Capital markets research in accounting (2001)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)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 econometrics of financial markets (1996)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment437 cited
  • 1993Common Persistence in Conditional Variances

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313 cited
  • 1986Cross-Security Tests of the Mixture of Distributions Hypothesis276 cited
  • Cited by

    • 2005Asymmetric responses of international stock markets to trading volume33 cited
    • 2005Does volume provide information? Evidence from the Irish Stock Market29 cited
    • 2017The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa28 cited
    • 2015Stock Market Volatility and Equity Trading Volume: Empirical Examination from Brazil, Russia, India and China (BRIC)25 cited