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An analysis of stock market transactions data

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  • McCullough, B. D.

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  • McCullough, B. D., 1997. "An analysis of stock market transactions data," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 887-903.
    • Handle: RePEc:eee:quaeco:v:37:y:1997:i:4:p:887-903
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    2. Michael Price, J., 1979. "The characterization of instantaneous causality : A correction," Journal of Econometrics, Elsevier, vol. 10(2), pages 253-256, June.
    3. Rogalski, Richard J, 1984. "New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-1614, December.
    4. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107, Decembrie.
    5. McCullough, B D, 1995. "A Spectral Analysis of Transactions Stock Market Data," The Financial Review, Eastern Finance Association, vol. 30(4), pages 823-842, November.
    6. Glenn N. Pettengill & Bradford D. Jordan, 1988. "A Comprehensive Examination Of Volume Effects And Seasonality In Daily Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 57-70, March.
    7. Smirlock, Michael & Starks, Laura, 1988. "An empirical analysis of the stock price-volume relationship," Journal of Banking & Finance, Elsevier, vol. 12(1), pages 31-41, March.
    8. Michael Smirlock & Laura Starks, 1985. "A Further Examination Of Stock Price Changes And Transaction Volume," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 217-226, September.
    9. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    10. Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    11. Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
    12. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
    13. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 269-283, September.
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    15. Allan P. Layton, 1984. "A Further Note On The Detection Of Granger Instantaneous Causality," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(1), pages 15-18, January.
    16. Jennings, Robert H. & Barry, Christopher B., 1983. "Information Dissemination and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 1-19, March.
    17. 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.
    18. Nelson, Charles R & Schwert, G William, 1977. "Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant," American Economic Review, American Economic Association, vol. 67(3), pages 478-486, June.
    19. Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-1442, November.
    20. Smirlock, Michael & Starks, Laura, 1986. "Day-of-the-week and intraday effects in stock returns," Journal of Financial Economics, Elsevier, vol. 17(1), pages 197-210, September.
    21. Rogalski, Richard J, 1978. "The Dependence of Prices and Volume," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 268-274, May.
    22. Evans, G B A & Savin, N E, 1982. "Conflict among the Criteria Revisited: The W, LR and LM Tests," Econometrica, Econometric Society, vol. 50(3), pages 737-748, May.
    23. Guilkey, David K & Salemi, Michael K, 1982. "Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 668-680, November.
    24. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144, Elsevier.
    25. Kang, Heejoon, 1985. "The Effects of Detrending in Granger Causality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 344-349, October.
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    1. Letson, David & McCullough, B.D., 2001. "ENSO and Soybean Prices: Correlation without Causality," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 33(3), pages 513-521, December.
    2. Evan Osborne, 2001. "Efficient Markets? Don’t Bet on It," Journal of Sports Economics, , vol. 2(1), pages 50-61, February.

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