Karolyi, G. Andrew (contributor); Lee, Kuan-hui (contributor) - 2007
-variation in stock returns. Trading volume as an
aggregation of order flows may also be linked. Indeed, Hasbrouck and Seppi (2001 …), the daily trading volume (VO; expressed in
1,000 shares), the daily adjusted price (P; in local currency), and the market …:
∑
=
−
⎟
⎟
⎠
⎞
⎜
⎜
⎝
⎛
+−
⎟
⎟
⎠
⎞
⎜
⎜
⎝
⎛
+≡
100
1 ,
1,
,
,
,
1log
1
1log
k yi
ki
yi
di
di
NSH
VO
NNSH
VO
TV , (2)
9
where VO
i,d
is the trading volume …