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Common features between stock returns and trading volume
16 references·0 citing·37 second hop
Common features between stock returns and trading volume (2002)Common features between stock returns and…Skewness in financial returns (1999)Skewness in financial returnsReturn Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Endogenous Trading Volume and Momentum in Stock-Return Volatility (1994)Endogenous Trading Volume and…Testing for Common Features (1993)Testing for Common FeaturesIntroduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Stock Prices and Volume (1992)Stock Prices and VolumeTesting For Common Features (1990)Testing For Common FeaturesA Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A monthly effect in stock returns (1987)A monthly effect in stock ret…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Market Liquidity and Trading Activity (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)A Jump-Diffusion Model for Option Pricing (2002)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)The variation of certain speculative prices (1997)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Forecasting Volatility in Financial Markets: A Review (2003)The Information Content of Annual Earnings Announcements (1968)Illiquidity and stock returns: cross-section and time-series effects (2002)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Book Review: Time Series Analysis: Forecasting and Control (1977)Generalized impulse response analysis in linear multivariate models (1998)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)ARCH modeling in finance (1992)Differences of Opinion Make a Horse Race (1993)Intraday periodicity and volatility persistence in financial markets (1997)
this work references cited by second hop

References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1993Introduction to Multiple Time Series Analysis1,926 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1987A monthly effect in stock returns721 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1990Testing For Common Features482 cited
  • 1999Skewness in financial returns292 cited
  • 1993Testing for Common Features227 cited

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  • 1994Endogenous Trading Volume and Momentum in Stock-Return Volatility222 cited
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