Similar Search Results

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2010

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012763325

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility

Chuang, Wen-i; Liu, Hsiang-hsi; Susmel, Rauli - In: Global finance journal 23 (2012) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009631295

Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213

Persistent link: https://www.econbiz.de/10009779296

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

The empirical investigation of causal relationship between intraday return and volume in Indian stock market

Sahota, Gurleen; Singh, Balwinder - In: Vision : the journal of business perspective 20 (2016) 3, pp. 199-210

Persistent link: https://www.econbiz.de/10011667354

Intraday jumps and trading volume : a nonlinear Tobit specification

Jawadi, Fredj; Louhichi, Waël; Cheffou, Abdoulkarim Idi; … - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1167-1186

Persistent link: https://www.econbiz.de/10011596214

Trading volume and return volatility of Bitcoin market : evidence for the sequential information arrival hypothesis

Wang, Pengfei; Zhang, Wei; Li, Xiao; Shen, Dehua - In: Journal of economic interaction and coordination : JEIC 14 (2019) 2, pp. 377-418

Persistent link: https://www.econbiz.de/10012111563

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

International stock return co-movements and trading activity

Sheng, Xin; Brzeszczyński, Janusz; Ibrahim, Boulis Maher - In: Finance research letters 23 (2017), pp. 12-18

Persistent link: https://www.econbiz.de/10011808297

A service of the

zbw