Search Results - subject:"trading volumes"

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Violations of uncovered interest rate parity and international exchange rate dependences

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187

Persistent link: https://www.econbiz.de/10011787712

Differences in herding: individual vs. institutional investors

Li, Wei; Rhee, Ghon; Wang, Steven Shuye - In: Pacific-Basin finance journal 45 (2017), pp. 174-185

Persistent link: https://www.econbiz.de/10011800882

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10011377522

Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment

Elliott, Robert; Siu, Tak - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 133-149

<Para ID="Par1">By utilizing information about prices and trading volumes, we discuss the pricing of European … trading volumes. Using observations about trading volumes, we present a filtered estimate of the hidden common factor. The …

Persistent link: https://www.econbiz.de/10011241980

Short-term effects of analysts recommendations in Spanish blue chips returns and trading volumes

García Blandón, Josep; Argilés Bosch, Josep Maria - In: Estudios de Economía 36 (2009) 1, pp. 33-46

The purpose of this paper is to investigate the effects of stock recommendations in returns and trading volumes. Unlike …

Persistent link: https://www.econbiz.de/10010289469

GARCH modeling of robust market returns

Cuadro-Sáez, Lucía; Moreno, Manuel - 2007

trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust … estimation of market returns by providing a new indicator that accounts for the information content in prices and trading volumes …

Persistent link: https://www.econbiz.de/10010272310

GARCH Modeling of Robust Market Returns

Sáez, Lucía Cuadro; Moreno, Manuel - Institut für Weltwirtschaft (IfW) - 2007

trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust … estimation of market, returns by providing a new indicator that accounts for the information content in prices and trading … volumes: the volume weighted return. Then we estimate a GARCH (1,1) model for the IBEX-35 futures market that includes shocks …

Persistent link: https://www.econbiz.de/10005818774

Intraday data and volatility models : evidence from Chinese stocks

Tian, Gary G.; Guo, Mingyuan; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005

consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of …

Persistent link: https://www.econbiz.de/10009482212

Causal effect of volume on stock returns and conditional volatility in developed and emerging market

Kumar, Manish; Thenmozhi, M. - In: American Journal of Finance and Accounting 2 (2012) 4, pp. 346-362

This study examines the dynamic causal (linear as well as non-linear) relationship between trading volume and return and between volatility and returns. We have used the vector autoregression based Granger causality framework to examine the linear causality, while the non-linear causality have...

Persistent link: https://www.econbiz.de/10010816694

The priceâ€“volume relationship in Gulf Cooperation Council stock markets

Abdalla, Abdelgader M.A.; Al-Khouri, Ritab S. - In: International Journal of Economics and Business Research 3 (2011) 1, pp. 15-28

This paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock markets that comprise the Gulf Cooperation Council. The dataset includes seven national stock markets for the period spanning from 1 July 2004 to 3 September 2008. Granger...

Persistent link: https://www.econbiz.de/10009352448