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Increasing Block Transactions and Stock Market Behavior

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  • Anthony Yanxiang Gu

Abstract

An increasing volume of experienced trading tends to reduce autocorrelation and make the market more efficient. Autocorrelation in daily returns changes over time and the changes were less frequent than would be expected if the changes were random, but the changes are random recently. Autocorrelation has a negative connection with rate of return. The relation between autocorrelation and trading volume is positive and nonlinear.

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Bibliographic Info

Article provided by New York State Economics Association (NYSEA) in its journal New York Economic Review.

Volume (Year): 33 (2002)
Issue (Month): 1 ()
Pages: 67-74

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Handle: RePEc:nye:nyervw:v:33:y:2002:i:1:p:67-74

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  1. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
  2. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
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