IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v19y1995i8p1341-1358.html
   My bibliography  Save this article

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

Author

Listed:
  • Assogbavi, T.
  • Khoury, N.
  • Yourougou, P.

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:jbfina:v:19:y:1995:i:8:p:1341-1358
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378-4266(94)00121-I
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Grammatikos, Theoharry & Yourougou, Pierre, 1990. "Market expectations of the effects of the Tax Reform Act of 1986 on banking organizations," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1171-1187, December.
    2. 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 723-739, July.
    3. Copeland, Thomas E., 1977. "A Probability Model of Asset Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 563-578, November.
    4. Epps, Thomas W, 1975. "Security Price Changes and Transaction Volumes: Theory and Evidence," American Economic Review, American Economic Association, vol. 65(4), pages 586-597, September.
    5. 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(1), pages 1-7, July.
    6. 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 1149-1168, September.
    7. Schipper, K & Thompson, R, 1983. "The Impact Of Merger-Related Regulations On The Shareholders Of Acquiring Firms," Journal of Accounting Research, Wiley Blackwell, vol. 21(1), pages 184-221.
    8. 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 305-321, March.
    9. 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(1), pages 109-126, March.
    10. Nabil T. Khoury & Pierre Yourougou, 1991. "The informational content of the basis: Evidence from Canadian barley, oats, and canola futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(1), pages 69-80, February.
    11. 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 143-161, March.
    12. 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(4), pages 463-476, November.
    13. 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, April.
    14. Schneller, Meir I, 1978. "Security Price Changes and Transaction Volumes: Comment," American Economic Review, American Economic Association, vol. 68(4), pages 696-697, September.
    15. J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
    16. Jonathan M. Karpoff, 1988. "Costly Short Sales And The Correlation Of Returns With Volume," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 173-188, September.
    17. Karpoff, Jonathan M, 1986. "A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
    18. Black, Fischer, 1986. "Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-543, July.
    19. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dominique Dupont, 1997. "Extracting information from trading volume," Finance and Economics Discussion Series 1997-20, Board of Governors of the Federal Reserve System (U.S.).
    2. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2018. "New evidence on asymmetric return–volume dependence and extreme movements," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 212-227.
    3. Brajesh Kumar, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
    4. Ólan T. Henry & Michael McKenzie, 2006. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," The Journal of Business, University of Chicago Press, vol. 79(2), pages 671-692, March.
    5. Ghulam Hussain Khan Zaigham & Xiangning Wang & Haji Suleman Ali, 2019. "Causal Relation Between Stock Market Performance and Firm Investment in China: Mediating Role of Information Asymmetry," SAGE Open, , vol. 9(4), pages 21582440198, October.
    6. Crystal Xiaobei Chen, 2012. "The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 204-218, June.
    7. Tzu-Kuang Hsu & Chin-Chang Tsai, 2017. "Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(1), pages 15-26, January.
    8. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, 2009. "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
    9. Said Elfakhani, 2000. "Short positions, size effect, and the liquidity hypothesis: implications for stock performance," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 105-116.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
    2. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
    3. Avouyi-Dovi, S. & Jondeau, E. & Lai Tong, C., 1997. "Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5," Working papers 42, Banque de France.
    4. Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012. "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, vol. 23(1), pages 1-15.
    5. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    6. Chen, Gong-meng & Firth, Michael & Rui, Oliver M, 2001. "The Dynamic Relation between Stock Returns, Trading Volume, and Volatility," The Financial Review, Eastern Finance Association, vol. 36(3), pages 153-173, August.
    7. Marcus Alexander Ong, 2015. "An information theoretic analysis of stock returns, volatility and trading volumes," Applied Economics, Taylor & Francis Journals, vol. 47(36), pages 3891-3906, August.
    8. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
    9. Yadav, Pradeep K., 1992. "Event studies based on volatility of returns and trading volume: A review," The British Accounting Review, Elsevier, vol. 24(2), pages 157-184.
    10. Lee, Cheng F & Rui, Oliver M, 2000. "Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 14(4), pages 341-360, June.
    11. Ling-Yun He & Sheng Yang & Wen-Si Xie & Zhi-Hong Han, 2014. "Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S1), pages 148-166.
    12. Elena Kalotychou & Sotiris Staikouras, 2006. "Volatility and trading activity in Short Sterling futures," Applied Economics, Taylor & Francis Journals, vol. 38(9), pages 997-1005.
    13. Ming-Hsien Chen & Vivian Tai, 2014. "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, vol. 17(2), pages 217-239, July.
    14. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
    15. Ólan T. Henry & Michael McKenzie, 2006. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," The Journal of Business, University of Chicago Press, vol. 79(2), pages 671-692, March.
    16. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, 2009. "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
    17. H. Jonathan Jang & Byung T. Ro, 1989. "Trading volume theories and their implications for empirical information content studies," Contemporary Accounting Research, John Wiley & Sons, vol. 6(1), pages 242-262, September.
    18. Brajesh Kumar, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
    19. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
    20. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:19:y:1995:i:8:p:1341-1358. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.