Does volume provide information? Evidence from the Irish Stock Market
AbstractThe mixture of distributions hypothesis (MDH) suggests that trading volume of shares provides information to share prices and returns. This study examines this, for the first time, in the context of the Irish stock exchange. The evidence is mixed, and only weakly in favour of the MDH. Volume appears not to be important in explaining the volatility of the Irish market.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 1 (2005)
Issue (Month): 2 (March)
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Web page: http://www.tandfonline.com/RAFL20
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
- 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.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
- Mubarik, Fauzia & Javid, Attiya Yasmin, 2009. "Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market," MPRA Paper 37558, University Library of Munich, Germany.
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