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Causality in quantiles and dynamic stock return–volume relations
16 references·16 citing·40 second hopsampled
Causality in quantiles and dynamic stock return–volume relations (2009)Causality in quantiles and dynamic stock …Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Stock Prices and Volume (1992)Stock Prices and VolumeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Testing for causality (1980)Testing for causalityThe Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Does crude oil price stimulate economic policy uncertainty in BRICS? (2021)Does crude oil price stimulat…Analyzing time-varying volatility spillovers between the crude oil markets using a new method (2020)Analyzing time-varying volati…Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis (2019)Relationship between the oil …Investigation of the effects of financial regulation and supervision on bank stability: The application of CAMELS-DEA to quantile regressions (2018)Investigation of the effects …Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? (2017)Time-varying causality betwee…Dependence changes between the carbon price and its fundamentals: A quantile regression approach (2017)Dependence changes between th…The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach (2016)The heterogeneity dependence …Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model (2015)Investor sentiment and its no…Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach (2015)Do financial stress and polic…The structure and degree of dependence: A quantile regression approach (2012)The structure and degree of d…Revisiting the empirical linkages between stock returns and trading volume (2012)Revisiting the empirical link…Diversification and risk-adjusted performance: A quantile regression approach (2012)Diversification and risk-adju…Corporate governance and cash holdings: A quantile regression approach (2012)Corporate governance and cash…Causality between trading volume and returns: Evidence from quantile regressions (2012)Causality between trading vol…Stock Return Autocorrelations Revisited: A Quantile Regression Approach (2011)Stock Return Autocorrelations…Measuring and explaining the volatility of capital flows to emerging countries (2011)Measuring and explaining the …Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Cross-Sectional versus Longitudinal Survey Research: Concepts, Findings, and Guidelines (2008)Testing for Granger non-causality in heterogeneous panels (2012)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)On the Impossibility of Informationally Efficient Markets (1980)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Why Does Stock Market Volatility Change Over Time? (1989)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Generalized autoregressive conditional heteroskedasticity (1986)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 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
  • 1980Testing for causality1,747 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

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608 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • Cited by

    • 2016The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach236 cited
    • 2012The structure and degree of dependence: A quantile regression approach210 cited
    • 2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method206 cited
    • 2015Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach199 cited
    • 2021Does crude oil price stimulate economic policy uncertainty in BRICS?177 cited
    • 2017Dependence changes between the carbon price and its fundamentals: A quantile regression approach176 cited
    • 2011Stock Return Autocorrelations Revisited: A Quantile Regression Approach164 cited
    • 2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis159 cited
    • 2015Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model140 cited
    • 2012Revisiting the empirical linkages between stock returns and trading volume136 cited
    • 2011Measuring and explaining the volatility of capital flows to emerging countries125 cited
    • 2012Corporate governance and cash holdings: A quantile regression approach122 cited
    • 2012Causality between trading volume and returns: Evidence from quantile regressions121 cited
    • 2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?119 cited
    • 2018Investigation of the effects of financial regulation and supervision on bank stability: The application of CAMELS-DEA to quantile regressions104 cited
    • 2012Diversification and risk-adjusted performance: A quantile regression approach100 cited