An Empirical Study Of Return-Volume Relationship For Indian Market
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- Rashmi Ranjan Paital & Naresh Kumar Sharma, 2016. "Do Trading Volume and Bid-Ask Spread Contain Information to Predict Stock Returns? Intraday Evidence from India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(3), pages 135-150, March.
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KeywordsTrading volume; Price change; contemporaneous relationship; lead-lag relationship; systematic irregularities; ARIMA filtering; Haugh test; Granger Sims Causality;
- G - Financial Economics
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