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Citations for " Market Statistics and Technical Analysis: The Role of Volume"

by Blume, Lawrence & Easley, David & O'Hara, Maureen

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Cited by (explanations, 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.):
  1. Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute. [Downloadable!]
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  2. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September. [Downloadable!] (restricted)
  3. Bartosz Gebka, 2005. "Dynamic volume--return relationship: evidence from an emerging capital market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 1019-1029, October. [Downloadable!] (restricted)
  4. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies. [Downloadable!]
  5. Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 277-297, December. [Downloadable!] (restricted)
  6. Jian Yang & David A. Bessler & Hung-Gay Fung, 2004. "The informational role of open interest in futures markets," Applied Economics Letters, Taylor and Francis Journals, vol. 11(9), pages 569-573, January. [Downloadable!] (restricted)
  7. Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications 02-43, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  8. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  9. Lester Hadsell, 2006. "A TARCH examination of the return volatility--volume relationship in electricity futures," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 893-901, August. [Downloadable!] (restricted)
  10. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
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  11. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
  12. Christophe Chamley, 2003. "Dynamic Speculative Attacks," American Economic Review, American Economic Association, vol. 93(3), pages 603-621, June. [Downloadable!]
  13. Taoufik Bouraoui, 2008. "L'impact des spams boursiers sur les volumes : Application de la méthodologie des études d’événement," EconomiX Working Papers 2008-11, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
  14. Elena Kalotychou & Sotiris K. Staikouras, 2006. "Volatility and trading activity in Short Sterling futures," Applied Economics, Taylor and Francis Journals, vol. 38(9), pages 997-1005, May. [Downloadable!] (restricted)
  15. BEN OMRANE, Walid & VAN OPPEN, HervŽ, 2004. "The predictive success and profitability of chart patterns in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2004035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  16. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
  17. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA. [Downloadable!]
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  18. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  19. Li Li & Robert F. Engle, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series 98-27, Department of Economics, UC San Diego. [Downloadable!]
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  20. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  21. Ko Wang & John Erickson & Su Han Chan, 1995. "Does the REIT Stock Market Resemble the General Stock Market?," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 445-460. [Downloadable!]
  22. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Christophe Chamley, 2002. "Dynamic Speculative Attacks," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-119, Boston University - Department of Economics. [Downloadable!]
  24. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
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  25. G. Caginalp, H. Laurent, 1998. "The predictive power of price patterns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 181-205, September. [Downloadable!] (restricted)
  26. Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers 3353, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  27. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  28. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]
  29. Emanuela Trifan, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  30. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics. [Downloadable!]
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  31. Emanuela Trifan, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  32. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  33. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, EconWPA. [Downloadable!]
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  34. Carl Plat, 2005. "A Double Auction Market with Signals of Varying Precision," Experimental 0508004, EconWPA. [Downloadable!]
  35. Victoria Saporta & Kamhon Kan, . "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England. [Downloadable!]
  36. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  37. Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, EconWPA, revised 24 Aug 1998. [Downloadable!]
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  38. Karl Friedrich Habermeier & Andrei Kirilenko, . "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund. [Downloadable!]
  39. Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  40. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," European Journal of Finance, Taylor and Francis Journals, vol. 7(4), pages 335-355, December. [Downloadable!] (restricted)
  41. Emmanuel Acar, Stephen E. Satchell, 1997. "A theoretical analysis of trading rules: an application to the moving average case with Markovian returns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(3), pages 165-180, September. [Downloadable!] (restricted)
  42. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
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  43. Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," SCAPE Policy Research Working Paper Series 0512, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
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  44. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department. [Downloadable!]
  45. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  46. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(3), pages 751-782.
  47. Marcus Clements & Harminder Singh & Antonie Van Eekelen, 2007. "Trading in Target Stocks Before Takeover Announcements: An Analysis of Stock and Option Markets," Accounting, Finance, Financial Planning and Insurance Series 2007_20, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  48. Wen-Hsiu Kuo & Ching-Chung Lin & Liu-Hsiang Hsu, 2007. "The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set," Economics Bulletin, Economics Bulletin, vol. 7(10), pages 1-14. [Downloadable!]
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This page was last updated on 2009-12-8.

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