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Persistence volatility in daily stock returns : daily number of trades vs. GARCH effects

Dadgostar, Bahram; Jalilvand, Abolhassan - In: Journal of global business : JGB ; journal of the … 10 (1999) 18, pp. 63-75

Persistent link: https://www.econbiz.de/10001580731

Dynamic Relationship between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand : Does the US Subprime Crisis Matter?

Jiranyakul, Komain - 2016

Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and...

Persistent link: https://www.econbiz.de/10012979314

Contemporaneous and asymmetric volume-return relationship : cross-product evidence from an emerging market

Lin, Jung-chu - In: Investment management and financial innovations 13 (2016) 1, pp. 92-111

Persistent link: https://www.econbiz.de/10011630686

Existence of price pressures surrounding annual changes in the "dogs of the dow" portfolio

Lin, Eric C.; Kuhle, James L.; Xu, Helen - In: Research in finance 34 (2018), pp. 41-56

Persistent link: https://www.econbiz.de/10011956418

Ultra-high-frequency lead-lag relationship and information arrival

Thong Minh Dao; McGroarty, Frank; Urquhart, Andrew - In: Quantitative finance 18 (2018) 5, pp. 725-735

Persistent link: https://www.econbiz.de/10011906948

Lagged country returns and international stock return predictability during business cycle recession periods

Wen, Yi-Chieh; Li, Bin - In: Applied economics 52 (2020) 46, pp. 5005-5019

Persistent link: https://www.econbiz.de/10012306532

An empirical study on the lead-lag relationship between five-year Chinese government spot bonds and futures markets

Qin, Rong-Yuan; Heo, Ji-Hun - In: Journal of international trade & commerce 13 (2017) 1, pp. 49-67

Persistent link: https://www.econbiz.de/10011796998

The lead-lag relationship between US industry-level credit and stock markets

Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; Nur Azura … - In: Journal of economic studies 44 (2017) 4, pp. 518-539

Persistent link: https://www.econbiz.de/10011960865

Lead-lag relationships in international stock markets revisited : are they exploitable?

Grüner, Andreas; Finke, Christian - In: International journal of financial research 9 (2018) 1, pp. 8-30

Persistent link: https://www.econbiz.de/10012234675

Dynamic gap transformations: Are banks asset - transformers or brokers? or both?

Bharati, Rakesh; Nanisetty, Prasad; So, Jacky C. - In: The quarterly review of economics and finance : journal … 46 (2006) 1, pp. 36-52

Persistent link: https://www.econbiz.de/10003305632