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Trading volume and stock returns: a meta-analysis

Bajzik, Josef - 2020

I examine 468 estimates on the relationship between trading volume and stock returns reported in 44 studies. I deploy recent nonlinear techniques for detecting publication bias together with Bayesian and frequentist model averaging to evaluate the heterogeneity in the estimates. The results...

Persistent link: https://www.econbiz.de/10012395240

Investor sentiment, trading behavior and stock returns

Ryu, Doojin; Kim, Hyeyoen; Yang, Heejin - In: Applied economics letters 24 (2017) 10/12, pp. 826-830

Persistent link: https://www.econbiz.de/10011714297

Pump up the volume: income risk and counter-cyclical asset trading

Sarolli, Gian Domenico - In: Eastern economic journal 42 (2016) 4, pp. 594-610

Persistent link: https://www.econbiz.de/10012238615

The information value of credit rating withdrawals

Yi, Seongbaek; Fairchild, Lisa M.; Shin, Yoon S. - In: International journal of bonds and derivatives 2 (2016) 2, pp. 108-132

Persistent link: https://www.econbiz.de/10011587533

Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161

Persistent link: https://www.econbiz.de/10011644073

Investor emotional biases and trading volume's asymmetric response : a non-linear ARDL approach tested in S&P500 stock market

Dhaoui, Abderrazak; Bacha, Sami - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive...

Persistent link: https://www.econbiz.de/10011598438