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Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange
16 references·15 citing·35 second hop
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this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1998Institutional Investors and Equity Prices1,263 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited

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1966
Some New Stock-Market Indexes
538 cited

Cited by

  • 1997Stock market returns in thin markets: evidence from the Vienna Stock Exchange52 cited
  • 2003The Determinants of Conditional Autocorrelation in Stock Returns51 cited
  • 2004Modelling Realized Variance when Returns are Serially Correlated48 cited
  • 2016Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression36 cited
  • 2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows35 cited
  • 2005Dynamics of intraday serial correlation in the Italian futures market34 cited
  • 2013Autocorrelation and partial price adjustment31 cited
  • 2008Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892-191330 cited
  • 2016Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models28 cited
  • 2005The 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 Exchange26 cited
  • 2007Hourly index return autocorrelation and conditional volatility in an EAR–GJR-GARCH model with generalized error distribution24 cited
  • 2019Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis24 cited
  • 2008The Impact of Trading Volume on Stock Price Volatility in the Arab Economy24 cited
  • 2007The relationship between implied volatility and autocorrelation22 cited
  • 1997Empirical Analyses of Three Explanations for the Positive Autocorrelation of Short-Horizon Stock Index Returns22 cited