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The day of the week effecton returns, volatility and volume of Shariah index

Munusany, Dharani - In: The empirical economics letters : a monthly … 15 (2016) 6, pp. 608-618

Persistent link: https://www.econbiz.de/10011655904

Exploring the causal relationship between stock returns, volume, and turnover across sectoral indices in Indian stock market

Narayan, Parab; Reddy, Y. V. - In: Metamorphosis : a journal of management research 16 (2017) 2, pp. 122-140

Persistent link: https://www.econbiz.de/10011854854

Expiration-day effects of index futures in a frontier market : the case of Ho Chi Minh Stock Exchange

Nguyen Thi Kim Anh; Loc Dong Truong; Friday, H. S. - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-12

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period...

Persistent link: https://www.econbiz.de/10012804832

Trading volume and autocorrelation : empirical evidence from the Stockholm Stock Exchange

Säfvenblad, Patrik - 1997

Persistent link: https://www.econbiz.de/10000971380

Price and volume effects associated with scheduled changes in constituents of index : study of NIFTY index in India

Joshipura, Mayank; Janakiramanan, Sundaram - In: Afro-Asian Journal of Finance and Accounting : AAJFA 5 (2015) 1, pp. 21-36

Persistent link: https://www.econbiz.de/10011529413

Intraday volatility and volume in China's stock index and index futures markets

Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955

Persistent link: https://www.econbiz.de/10011471124

Tail relation between return and volume in the US stock market : an analysis based on extreme value theory

Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254

Persistent link: https://www.econbiz.de/10011618837

Anticipatory effects in the FTSE 100 index revisions

Fernandes, Marcelo; Mergulhão, João - In: Journal of empirical finance 37 (2016), pp. 79-90

Persistent link: https://www.econbiz.de/10011662945

Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model

Siddiqui, Saif; Roy, Preeti - In: Decision 46 (2019) 3, pp. 239-252

Persistent link: https://www.econbiz.de/10012116134

Trading activities of short-sellers around index deletions : evidence from the Nikkei 225

Takahashi, Hidetomo; Xu, Peng - In: Journal of financial markets 27 (2016), pp. 132-146

Persistent link: https://www.econbiz.de/10011722224

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