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An analysis of stock market transactions data

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  • McCullough, B. D.

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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 37 (1997)
Issue (Month): 4 ()
Pages: 887-903

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Handle: RePEc:eee:quaeco:v:37:y:1997:i:4:p:887-903

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Web page: http://www.elsevier.com/locate/inca/620167

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References

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  1. Evans, G B A & Savin, N E, 1982. "Conflict among the Criteria Revisited: The W, LR and LM Tests," Econometrica, Econometric Society, vol. 50(3), pages 737-48, May.
  2. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
  3. Michael Price, J., 1979. "The characterization of instantaneous causality : A correction," Journal of Econometrics, Elsevier, vol. 10(2), pages 253-256, June.
  4. Dann, Larry Y. & Mayers, David & Raab, Robert Jr., 1977. "Trading rules, large blocks and the speed of price adjustment," Journal of Financial Economics, Elsevier, vol. 4(1), pages 3-22, January.
  5. Jennings, Robert H. & Barry, Christopher B., 1983. "Information Dissemination and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(01), pages 1-19, March.
  6. Kang, Heejoon, 1985. "The Effects of Detrending in Granger Causality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 344-49, October.
  7. McCullough, B D, 1995. "A Spectral Analysis of Transactions Stock Market Data," The Financial Review, Eastern Finance Association, vol. 30(4), pages 823-42, November.
  8. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
  9. Smirlock, Michael & Starks, Laura, 1986. "Day-of-the-week and intraday effects in stock returns," Journal of Financial Economics, Elsevier, vol. 17(1), pages 197-210, September.
  10. Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-42, November.
  11. Smirlock, Michael & Starks, Laura, 1988. "An empirical analysis of the stock price-volume relationship," Journal of Banking & Finance, Elsevier, vol. 12(1), pages 31-41, March.
  12. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
  13. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-77, July.
  14. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier.
  15. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  16. Rogalski, Richard J, 1978. "The Dependence of Prices and Volume," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 268-74, May.
  17. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
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Cited by:
  1. Evan Osborne, 2001. "Efficient Markets? Don't Bet on It," Journal of Sports Economics, , vol. 2(1), pages 50-61, February.
  2. Letson, David & McCullough, B.D., 2001. "Enso And Soybean Prices: Correlation Without Causality," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 33(03), December.

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