Trading volume and serial correlation in stock returns: a threshold regression approach
AbstractWe 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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Bibliographic InfoPaper 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.
Length: 13 pages
Date of creation: Dec 2010
Date of revision:
TAR; STAR; Stock return autocorrelation; Trading volume;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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