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Short interest and the asymmetry of the price-volume relationship in the Canadian stock market

  • Assogbavi, T.
  • Khoury, N.
  • Yourougou, P.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3YB56PH-2/2/1eb2d8c8a3a52495597ba9b11516e129
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 19 (1995)
    Issue (Month): 8 (November)
    Pages: 1341-1358

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:8:p:1341-1358
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. 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.
    2. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-21, March.
    3. Schneller, Meir I, 1978. "Security Price Changes and Transaction Volumes: Comment," American Economic Review, American Economic Association, vol. 68(4), pages 696-97, September.
    4. Brorsen, B. Wade & Bailey, DeeVon & Richardson, James W., 1984. "Investigation Of Price Discovery And Efficiency For Cash And Futures Cotton Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(01), July.
    5. G.J. Santoni, 1988. "The October crash: some evidence on the cascade theory," Review, Federal Reserve Bank of St. Louis, issue May, pages 18-33.
    6. Figlewski, Stephen, 1981. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 463-476, November.
    7. J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
    8. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
    9. Epps, Thomas W, 1975. "Security Price Changes and Transaction Volumes: Theory and Evidence," American Economic Review, American Economic Association, vol. 65(4), pages 586-97, September.
    10. 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.
    11. Charles M. Oellermann & B. Wade Brorsen & Paul L. Farris, 1989. "Price discovery for feeder cattle," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 113-121, 04.
    12. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-61, March.
    13. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-68, September.
    14. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
    15. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-87, December.
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