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A Probability Model of Asset Trading

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  • Copeland, Thomas E.

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  • Copeland, Thomas E., 1977. "A Probability Model of Asset Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 563-578, November.
  • Handle: RePEc:cup:jfinqa:v:12:y:1977:i:04:p:563-578_02
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    Cited by:

    1. Randi Naes & Johannes A. Skjeltorp, 2003. "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper 2003/9, Norges Bank.
    2. Benjamin M. Blau & Bonnie F. Van Ness & Robert A. Van Ness, 2009. "Intraday Stealth Trading: Which Trades Move Prices During Periods Of High Volume?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(1), pages 1-21.
    3. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2010. "When Market Illiquidity Generates Volumes," Working Papers halshs-00536046, HAL.
    4. Dennis Murray, 1985. "Further Evidence On The Liquidity Effects Of Stock Splits And Stock Dividends," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 59-68, March.
    5. J. Randall Woolridge & Chinmoy Ghosh, 1986. "Institutional Trading And Security Prices: The Case Of Changes In The Composition Of The S&P 500 Index," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 13-24, March.
    6. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
    7. Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015. "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
    8. Alex Frino & Elvis Jarnecic & Hui Zheng, 2010. "Activity in futures: does underlying market size relate to futures trading volume?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 313-325, April.
    9. Teppo Martikainen & Vesa Puttonen, 1996. "Sequential information arrival in the Finnish stock index derivatives markets," The European Journal of Finance, Taylor & Francis Journals, vol. 2(2), pages 207-217.
    10. Ralf Ostermark & Teppo Martikainen & Jaana Aaltonen, 1995. "The predictability of Finnish stock index futures and cash returns by derivatives volume," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 391-393.
    11. Assogbavi, T. & Khoury, N. & Yourougou, P., 1995. "Short interest and the asymmetry of the price-volume relationship in the Canadian stock market," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1341-1358, November.
    12. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
    13. Davidson, Wallace N. & Kim, Jin Kyoung & Ors, Evren & Szakmary, Andrew, 2001. "Using implied volatility on options to measure the relation between asset returns and variability," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1245-1269, July.
    14. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    15. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
    16. Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016. "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, vol. 35(C), pages 24-40.

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