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A transactions data analysis of the variability of common stock returns during 1980–1984
9 references·16 citing·44 second hop
A transactions data analysis of the variability of common stock returns during 1980–1984 (1990)A transactions data analysis of the varia…Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…On computing mean returns and the small firm premium (1983)On computing mean returns and…Biases in computed returns (1983)Biases in computed returnsA Theory of Common Stock Returns Over Trading and Non-Trading Periods (1980)A Theory of Common Stock Retu…The Predictability of Stock Market Prices. (1971)The Predictability of Stock M…Predictability of Stock Market Prices. (1971)Predictability of Stock Marke…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter? (2019)Time-of-day periodicities of …An Adaptive SVR for High-Frequency Stock Price Forecasting (2018)An Adaptive SVR for High-Freq…The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30 (2011)The Intraday Behaviour of Bid…Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility (2009)Intraday periodicity, calenda…Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange (2004)Intra Day Bid‐Ask Spreads, Tr…What If Trading Location is Different from Business Location? 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this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1986Stock return variances1,813 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1983Biases in computed returns771 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1983On computing mean returns and the small firm premium300 cited
  • 1971Predictability of Stock Market Prices.247 cited
  • 1980A Theory of Common Stock Returns Over Trading and Non-Trading Periods146 cited
  • 1971The Predictability of Stock Market Prices.130 cited

Cited by

  • 2018An Adaptive SVR for High-Frequency Stock Price Forecasting108 cited
  • 2001What If Trading Location is Different from Business Location? Evidence from the Jardine Group97 cited
  • 1998Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market80 cited
  • 1992Intraday patterns in the S&P 500 index futures market65 cited
  • 2004Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange61 cited
  • 2001Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market

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57 cited
  • 1999Symposium on Market Microstructure: A Review of Empirical Research52 cited
  • 2001The impact of salient political and economic news on the trading activity52 cited
  • 1994Information, Trading and Stock Returns: Lessons from Dually-Listed Securities51 cited
  • 1994Intraday stock return volatility: The Hong Kong evidence45 cited
  • 2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX3041 cited
  • 2001An empirical investigation of trading volume and return volatility of the Taiwan Stock Market41 cited
  • 2019Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?40 cited
  • 2001Explaining Intraday Pattern of Trading Volume from the Order Flow Data36 cited
  • 2009Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility28 cited
  • 1991Autocorrelation of daily index returns: intraday-to-intraday versus close-to-close intervals27 cited