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Causality in quantiles and dynamic stock return–volume relations · Study

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ArticleCausality in quantiles and dynamic stock return–volume relations

Chia-Chang Chuang2009

Article2009

Causality in quantiles and dynamic stock return–volume relations

Chia-Chang Chuang · Chung‐Ming Kuan · Hsin‐Yi Lin

275 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey 1980Testing for causality 1993Differences of Opinion Make a Horse Race 1993Trading Volume and Serial Correlation in Stock Returns 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation

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2016The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach 2012The structure and degree of dependence: A quantile regression approach 2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method 2015Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach 2021Does crude oil price stimulate economic policy uncertainty in BRICS?

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2022Stock returns, trading volume, and volatility: The case of African stock marketsarticle · 17 shared references 2012DYNAMIC STOCK RETURN–VOLUME RELATION: EVIDENCE FROM EMERGING ASIAN MARKETSarticle · 17 shared references 2001The Dynamic Relation Between Stock Returns, Trading Volume, and Volatilityarticle · 16 shared references 2002The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidencearticle · 15 shared references 2007Trading Volume and Market Volatility: Developed versus Emerging Stock Marketsarticle · 15 shared references 2012The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatilityarticle · 15 shared references

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Year2009

Typearticle

Published2009-03-06

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations275

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2009.02.013

openalex_workW2167649482

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2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis