The linear and non-linear dependence of stock returns and trading volume in the Finnish stock market

Teppo Martikainen · Vesa Puttonen A · Martti Luoma · Timo Rothovius

24 citations0/0 files storedApplied Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

This paper investigates the dynamic linkages between stock returns and trading volume in a small stock market, i.e. the Helsinki Stock Exchange in Finland during the period 1977–88. Both linear and...

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1981Some properties of time series data and their use in econometric model specification 1987The Relation Between Price Changes and Trading Volume: A Survey

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