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Trading volume and serial correlation in stock returns: a threshold regression approach

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  • Shoko Morimoto

    (Graduate School of Economics, Osaka University)

  • Mototsugu Shintani

    ()
    (Department of Economics, Vanderbilt University)

Abstract

We extend the analysis of Campbell et al. (1993) on the relationship between the first-order daily stock return autocorrelation and stock market trading volume by allowing abrupt and smooth transition structures using lagged stock returns as a transition variable. Using U.S. stock market data, we find the evidence supporting the nonlinear relationship characterized by a stronger return reversal effect on a high-volume day combined with low lagged stock returns.

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File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/1028.pdf
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Bibliographic Info

Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 10-28.

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Length: 13 pages
Date of creation: Dec 2010
Date of revision:
Handle: RePEc:osk:wpaper:1028

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Web page: http://www.econ.osaka-u.ac.jp/
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Keywords: TAR; STAR; Stock return autocorrelation; Trading volume;

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