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We use a bivariate GJR-GARCH model to investigate simultaneously the contemporaneous and causal relations between trading volume and stock returns and the causal relation between trading volume and return volatility in a one-step estimation procedure, which leads to the more efficient estimates...
Persistent link: https://www.econbiz.de/10011120381
The empirically documented positive relationship between price momentum and subsequent stock returns constitutes a puzzle that evades a compelling theoretical explanation. This study analyzes one of the proposed explanations, namely that momentum is correlated with stock liquidity, which is the...
Persistent link: https://www.econbiz.de/10011075594
This paper investigates whether the empirical linkages between stock returns and trading volume differ over the fluctuations of stock markets, i.e., whether the return–volume relation is asymmetric in bull and bear stock markets. Using monthly data for the S&P 500 price index and trading...
Persistent link: https://www.econbiz.de/10010578001
The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading volumes of companies listed on the CAC40 and FTSE100. The authors establish that the mean values of respective measures are different on the markets under study. In general,...
Persistent link: https://www.econbiz.de/10010752345
Persistent link: https://www.econbiz.de/10005547709
Persistent link: https://www.econbiz.de/10005722902
This paper investigates whether the empirical linkages between stock returns and trading volume differ over the fluctuations of stock markets, i.e., whether the return–volume relation is asymmetric in bull and bear stock markets. Using monthly data for the S&P 500 price index and trading...
Persistent link: https://www.econbiz.de/10009650676
The objective of the study is to measure the relationship between trading volume and returns; and change in trading volume and returns of stocks in Pakistan.Various techniques such as Unit root tests and GARCH have been applied on the data to determine the relationship between aforesaid...
Persistent link: https://www.econbiz.de/10010603872
This study uses Regulation Fair Disclosure (FD) as a plausibly exogenous shock to the information environment to identify the causal effect of information asymmetry on corporate financing behavior. Although Regulation FD prevents firms from selectively disclosing material information to market...
Persistent link: https://www.econbiz.de/10011208574
Accounting constantly seeks to transform data and registers intouseful, relevant and transparent information to serve the needs of as many people aspossible. Since these needs and the level of knowledge among investors and otherinterested parties differs widely, we seek to address the question...
Persistent link: https://www.econbiz.de/10010895908