Increasing Block Transactions and Stock Market Behavior
An increasing volume of experienced trading tends to reduce autocorrelation and make the market more efficient. Autocorrelation in daily returns changes over time and the changes were less frequent than would be expected if the changes were random, but the changes are random recently. Autocorrelation has a negative connection with rate of return. The relation between autocorrelation and trading volume is positive and nonlinear.
Volume (Year): 33 (2002)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: https://sites.google.com/site/econnysea/|
More information through EDIRC
References listed on IDEAS
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.:
- Lebaron, B., 1990.
"Some Relations Between Volatility And Serial Correlations In Stock Market Returns,"
9002, Wisconsin Madison - Social Systems.
- LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
- Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
When requesting a correction, please mention this item's handle: RePEc:nye:nyervw:v:33:y:2002:i:1:p:67-74. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eryk Wdowiak)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.