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 ()
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- 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.
- Lebaron, B., 1990. "Some Relations Between Volatility And Serial Correlations In Stock Market Returns," Working papers 9002, Wisconsin Madison - Social Systems.
- Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October. Full references (including those not matched with items on IDEAS)
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