Does volume provide information? Evidence from the Irish Stock Market
The mixture of distributions hypothesis (MDH) suggests that trading volume of shares provides information to share prices and returns. This study examines this, for the first time, in the context of the Irish stock exchange. The evidence is mixed, and only weakly in favour of the MDH. Volume appears not to be important in explaining the volatility of the Irish market.
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Volume (Year): 1 (2005)
Issue (Month): 2 (March)
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References listed on IDEAS
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- 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.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
- Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
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