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The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence

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  • Lee, Bong-Soo
  • Rui, Oliver M.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 1 (January)
Pages: 51-78

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Handle: RePEc:eee:jbfina:v:26:y:2002:i:1:p:51-78

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References

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  5. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, American Finance Association, vol. 45(1), pages 221-29, March.
  6. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 169-204, March.
  7. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 241-256, June.
  8. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 28(01), pages 21-39, March.
  9. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(01), pages 109-126, March.
  10. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 03-85, Wharton School Rodney L. White Center for Financial Research.
  11. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  12. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, American Finance Association, vol. 31(4), pages 1149-68, September.
  13. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 3-85, Wharton School Rodney L. White Center for Financial Research.
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  15. Jaffe, Jeffrey & Westerfield, Randolph, 1985. "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 20(02), pages 261-272, June.
  16. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 23(03), pages 269-283, September.
  17. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. " The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, American Finance Association, vol. 40(2), pages 433-54, June.
  18. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 102(1), pages 127-68, February.
  19. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 37(4), pages 859-885.
  20. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, Econometric Society, vol. 37(3), pages 424-38, July.
  21. Harris, Lawrence, 1986. "Cross-Security Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 21(01), pages 39-46, March.
  22. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, American Finance Association, vol. 45(1), pages 231-43, March.
  23. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
  24. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, American Economic Association, vol. 62(4), pages 540-52, September.
  25. Lee Bong-Soo & Jeon Bang Nam, 1995. "Common Stochastic Trends and Predictability of International Stock Prices," Journal of the Japanese and International Economies, Elsevier, vol. 9(3), pages 245-277, September.
  26. Agmon, Tamir, 1974. "The Relationship among Equity Markets: Reply," Journal of Finance, American Finance Association, American Finance Association, vol. 29(4), pages 1318-19, September.
  27. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  28. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 23(1), pages 61-78, June.
  29. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, American Finance Association, vol. 47(4), pages 1591-603, September.
  30. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 135-55, January.
  31. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
  32. Ariel, Robert A, 1990. " High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, American Finance Association, vol. 45(5), pages 1611-26, December.
  33. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 55-69, March.
  34. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 39(3), pages 819-35, July.
  35. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, American Finance Association, vol. 49(1), pages 153-81, March.
  36. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, Elsevier, vol. 17(1), pages 193-208, February.
  37. Foster, F Douglas & Viswanathan, S, 1995. "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(4), pages 379-96, October.
  38. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(3), pages 435-455, September.
  39. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 44(2), pages 305-21, March.
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