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Information Flow Dependence in Return and Trading Volume Across Different Stocks
Michaelsen, Markus - 2019
trading volume dependence. Conditional on the accumulated information, returns are jointly normal and correlated, which …
Persistent link: https://www.econbiz.de/10012890130
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Tail Relation between Return and Volume in the US Stock Market : An Analysis Based on Extreme Value Theory
Longin, François - 2016
correlation between return and volume decreases as we consider larger events in both the left and right distribution tails. From …
Persistent link: https://www.econbiz.de/10012987474
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Stock return predictability : evidence from moving averages of trading volume
Ma, Yao; Yang, Baochen; Su, Yunpeng - In: Pacific-Basin finance journal 65 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10013252827
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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
intensity. Further, the study observes that, when the SAI is high, the excess returns are high for stocks with a high value …
Persistent link: https://www.econbiz.de/10013183936
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An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market
Naik, Pramod Kumar - 2013
-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are …
Persistent link: https://www.econbiz.de/10013078205
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No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange
Krishnamurti, Chandrasekhar - 2014
Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...
Persistent link: https://www.econbiz.de/10013060597
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How do equity markets react to COVID-19? : evidence from emerging and developed countries
Harjoto, Maretno Agus; Rossi, Fabrizio; Lee, Robert; … - In: Journal of economics & business 115 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012807164
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Empirical essays on the stock market impact of limited investor attention
Jacobs, Heiko - 2011
Persistent link: https://www.econbiz.de/10009541595
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Dynamic transmissions between main stock markets and SME stock markets : evidence from tropical economies
Nguyen, Trang; Chaiechi, Taha; Eagle, Lynne C.; Low, … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 308-324
Persistent link: https://www.econbiz.de/10012416910
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Order imbalance beta and stock returns
Yang, Chunpeng; Hu, Xiaoyi - In: Applied economics 52 (2020) 56, pp. 6100-6113
Persistent link: https://www.econbiz.de/10012308455