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Information, trading, and volatility

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Author Info
Jones, Charles M.
Kaul, Gautam
Lipson, Marc L.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-45MFPNY-7/2/4fb18aab2666f4d83ae772c10e7a0b13
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 36 (1994)
Issue (Month): 1 (August)
Pages: 127-154
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Handle: RePEc:eee:jfinec:v:36:y:1994:i:1:p:127-154

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
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  2. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 1-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  3. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003. [Downloadable!]
  4. Simon H. Kwan & Mark J. Flannery & M. Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory 99-11, Federal Reserve Bank of San Francisco. [Downloadable!]
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  5. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  6. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)
  7. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics. [Downloadable!]
  8. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 119-135, May. [Downloadable!] (restricted)
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