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Trading Volume and Cross‐Autocorrelations in Stock Returns

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Cited by:

  1. Lin, Mei-Chen, 2015. "Seasonal affective disorder and investors’ response to earnings news," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 211-221.
  2. McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
  3. Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
  4. Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(1), pages 15-33, March.
  5. Panahidargahloo, Akram, 2020. "Positional momentum and liquidity management; a bivariate rank approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  6. Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
  7. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
  8. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  9. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
  10. Ye, Cheng & Qiu, Yanjun & Lu, Guohao & Hou, Yawen, 2018. "Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1009-1018.
  11. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
  12. Todea, Anita, 2022. "Ancestry barriers to the cross-border diffusion of global market information," Finance Research Letters, Elsevier, vol. 49(C).
  13. Qamar Ishtiaq & Fahad Abdullah, 2015. "Ownership Concentration and Cross-Autocorrelation in Portfolio Returns," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(2), pages 85-104, October.
  14. repec:ebl:ecbull:v:7:y:2008:i:15:p:1-16 is not listed on IDEAS
  15. Laopodis, Nikiforos T., 2016. "Industry returns, market returns and economic fundamentals: Evidence for the United States," Economic Modelling, Elsevier, vol. 53(C), pages 89-106.
  16. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "Stock and bond market interaction: Does momentum spill over?," Journal of Financial Economics, Elsevier, vol. 75(3), pages 651-690, March.
  17. Kiran Thapa, 2013. "Stock Message Board Recommendations and Share Trading Activity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 10, July-Dece.
  18. Cetin Ciner, 2003. "Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 8(1), pages 87-102, Spring.
  19. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
  20. Luo, Dan & Mao, Yipeng, 2021. "Fundamental volatility and informative trading volume in a rational expectations equilibrium," Economic Modelling, Elsevier, vol. 105(C).
  21. Chen, Gong-meng & Firth, Michael & Rui, Oliver M, 2001. "The Dynamic Relation between Stock Returns, Trading Volume, and Volatility," The Financial Review, Eastern Finance Association, vol. 36(3), pages 153-173, August.
  22. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
  23. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
  24. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
  25. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 119-135.
  26. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.
  27. Chiang, Thomas C. & Nelling, Edward & Tan, Lin, 2008. "The speed of adjustment to information: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 216-229.
  28. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  29. Mubarik, Fauzia & Javid, Attiya Yasmin, 2009. "Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market," MPRA Paper 37558, University Library of Munich, Germany.
  30. Christoly Biely & Stefan Thurner, 2008. "Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 705-722.
  31. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
  32. Baltussen, Guido & van Bekkum, Sjoerd & Da, Zhi, 2019. "Indexing and stock market serial dependence around the world," Journal of Financial Economics, Elsevier, vol. 132(1), pages 26-48.
  33. Henryk Gurgul & Roland Mestel & Tomasz Wojtowicz, 2007. "Distribution of volume on the American stock market," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 1, pages 143-163.
  34. Liu, Hsiang-Hsi & Chuang, Wen-I & Huang, Jih-Jeng & Chen, Yu-Hao, 2016. "The overconfident trading behavior of individual versus institutional investors," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 518-539.
  35. Zhou, Shengjie & Ye, Qing, 2023. "Margin trading and spillover effects: Evidence from the Chinese stock markets," Emerging Markets Review, Elsevier, vol. 54(C).
  36. Pablo Marshall & Eduardo Walker, 2002. "Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns," Journal of Applied Economics, Taylor & Francis Journals, vol. 5(2), pages 273-292, November.
  37. Wang, Anxing & Zhou, Jimei & Chen, Tao, 2011. "Which institutions matter to short-term market efficiency in Japan?," Research in Economics, Elsevier, vol. 65(3), pages 164-179, September.
  38. Sarwar, Ghulam, 2014. "U.S. stock market uncertainty and cross-market European stock returns," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 1-14.
  39. David Weinbaum & Andrew Fodor & Dmitriy Muravyev & Martijn Cremers, 2023. "Option Trading Activity, News Releases, and Stock Return Predictability," Management Science, INFORMS, vol. 69(8), pages 4810-4827, August.
  40. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  41. Ding, David K. & McInish, Thomas H. & Wongchoti, Udomsak, 2008. "Behavioral explanations of trading volume and short-horizon price patterns: An investigation of seven Asia-Pacific markets," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 183-203, June.
  42. Rashid, Abdul, 2007. "Stock prices and trading volume: An assessment for linear and nonlinear Granger causality," Journal of Asian Economics, Elsevier, vol. 18(4), pages 595-612, August.
  43. Paulo Silva, 2015. "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 381-427, November.
  44. Cathy W.S. Chen & Mike K.P. So & Thomas C. Chiang, 2016. "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Japanese Economic Association, vol. 67(1), pages 96-124, March.
  45. Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
  46. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
  47. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
  48. Andrey Kudryavtsev, 2014. "When Do Opening Stock Returns Tend to be Higher?," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 445-458, September.
  49. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
  50. Zareei, Abalfazl, 2019. "Network origins of portfolio risk," Journal of Banking & Finance, Elsevier, vol. 109(C).
  51. Hsieh, Wen-liang G. & He, Huei-Ru, 2014. "Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 187-215.
  52. Tomasz Wójtowicz, 2017. "High-volume return premium on the stock markets in Warsaw and Vienna," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 375-402.
  53. Fijorek, Kamil & Jurkowska, Aleksandra & Jonek-Kowalska, Izabela, 2021. "Financial contagion between the financial and the mining industries – Empirical evidence based on the symmetric and asymmetric CoVaR approach," Resources Policy, Elsevier, vol. 70(C).
  54. Daniel Chai & Robert Faff & Philip Gharghori, 2013. "Liquidity in asset pricing: New Australian evidence using low-frequency data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 375-400, August.
  55. Kim, Jinyong & Kim, Yongsik, 2018. "Foreign investors and the speed of price adjustment across multiple correlation regimes in Korea," Finance Research Letters, Elsevier, vol. 25(C), pages 137-144.
  56. Angela Besana & Annamaria Esposito, 2017. "Memory, Marketing and Economic Performances in Usa Symphony Orchestras and Opera Houses," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, September.
  57. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
  58. Tariq Haque, 2011. "The interaction of switching and lead-lag effects in equity markets," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 350-359, November.
  59. Chi Dong & Hooi Hooi Lean & Zamri Ahmad, 2017. "Intra-industry information diffusion in China's stock market," Economics Bulletin, AccessEcon, vol. 37(1), pages 1-11.
  60. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  61. Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng, 2004. "Industry momentum strategies and autocorrelations in stock returns," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 185-202, March.
  62. Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013. "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 273-293.
  63. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Hanif, Waqas & Kayani, Ghulam Mujtaba, 2018. "Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 433-450.
  64. Young K. Park & Kee H. Chung, 2007. "Foreign and Local Institutional Ownership and the Speed of Price Adjustment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1569-1595, November.
  65. Suk-Joong Kim, 2018. "Information Leadership in the Advanced Asia-Pacific Stock Markets: Return, Volatility and Volume Information Spillovers from the US and Japan," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 9, pages 271-304, World Scientific Publishing Co. Pte. Ltd..
  66. Chen, Crystal Xiaobei & Rhee, S. Ghon, 2010. "Short sales and speed of price adjustment: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 471-483, February.
  67. Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 862-894, December.
  68. Blau, Benjamin M. & Brough, Tyler J. & Griffith, Todd G., 2017. "Bank opacity and the efficiency of stock prices," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 32-47.
  69. Yi, Biao & Guo, Shuxin, 2022. "Common analyst links and predictable returns: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  70. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
  71. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
  72. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.
  73. repec:uts:finphd:34 is not listed on IDEAS
  74. Lim, Kian-Ping & Hooy, Chee-Wooi & Chang, Kwok-Boon & Brooks, Robert, 2016. "Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 1-28.
  75. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
  76. Masaki Mori, 2015. "Information Diffusion in the U.S. Real Estate Investment Trust Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 190-214, August.
  77. Brooks, Robert & Harris, Edwyna, 2014. "Price leadership and information transmission in Australian water allocation markets," Agricultural Water Management, Elsevier, vol. 145(C), pages 83-91.
  78. Jon A. Garfinkel & Jonathan Sokobin, 2006. "Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 44(1), pages 85-112, March.
  79. DePenya, Francisco J. & Gil-Alana, Luis A., 2007. "Serial correlation in the Spanish Stock Market," Global Finance Journal, Elsevier, vol. 18(1), pages 84-103.
  80. Seshadri Tirunillai & Gerard J. Tellis, 2012. "Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance," Marketing Science, INFORMS, vol. 31(2), pages 198-215, March.
  81. Judge, Amrit & Reancharoen, Tipprapa, 2014. "An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 335-358.
  82. Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael, 2008. "The factor structure of time-varying conditional volume," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 251-264, March.
  83. Li, Mingyi & Yin, Xiangkang & Zhao, Jing, 2020. "Does program trading contribute to excess comovement of stock returns?," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 257-277.
  84. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  85. Chou, Pin-Huang & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2019. "Asset growth, style investing, and momentum," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 108-124.
  86. Dye, Ronald A., 2001. "An evaluation of "essays on disclosure" and the disclosure literature in accounting," Journal of Accounting and Economics, Elsevier, vol. 32(1-3), pages 181-235, December.
  87. Chi Dong & Hooi Hooi Lean & Zamri Ahmad & Wing-Keung Wong, 2019. "The Impact of Market Condition and Policy Change on the Sustainability of Intra-Industry Information Diffusion in China," Sustainability, MDPI, vol. 11(4), pages 1-20, February.
  88. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).
  89. Zhang, Wei & Huang, Ke & Feng, Xu & Zhang, Yongjie, 2017. "Market maker competition and price efficiency: Evidence from China," Economic Modelling, Elsevier, vol. 66(C), pages 121-131.
  90. Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2007. "Stock Return Autocorrelation is Not Spurious," Department of Economics, Working Paper Series qt2k7414sv, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  91. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
  92. Lin, Mei-Chen & Wu, Chu-Hua & Chiang, Ming-Ti, 2014. "Investor attention and information diffusion from analyst coverage," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 235-246.
  93. Ólan T. Henry & Michael McKenzie, 2006. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," The Journal of Business, University of Chicago Press, vol. 79(2), pages 671-692, March.
  94. Manahov, Viktor & Hudson, Robert & Linsley, Philip, 2014. "New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 299-316.
  95. Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017. "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 45-63.
  96. Pawan Jain & Wen-Jun Xue, 2017. "Global Investigation of Return Autocorrelation and its Determinants," Working Papers 1704, Florida International University, Department of Economics.
  97. Jeff Madura & Thanh Ngo, 2008. "Pricing behavior of exchange traded funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 1-23, January.
  98. Rešovský, Marcel & Gróf, Marek & Horváth, Denis & Gazda, Vladimír, 2014. "Analysis of the Lead-Lag Relationship on South Africa capital market," MPRA Paper 57309, University Library of Munich, Germany.
  99. Jean-Pierre Gueyie & Mouhamadou Saliou Diallo & Mamadou Fadel Diallo, 2022. "Relationship between Stock Returns and Trading Volume at the Bourse Régionale des Valeurs Mobilières, West Africa," IJFS, MDPI, vol. 10(4), pages 1-16, December.
  100. Kiran Thapa, 2013. "Stock Message Board Recommendations and Share Trading Activity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2013.
  101. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
  102. Jain, Pawan & Xue, Wenjun, 2017. "Global investigation of return autocorrelation and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 200-217.
  103. Hasselgren, Anton & Peltomäki, Jarkko & Graham, Michael, 2020. "Speculator activity and the cross-asset predictability of FX returns," International Review of Financial Analysis, Elsevier, vol. 72(C).
  104. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH," MPRA Paper 58303, University Library of Munich, Germany.
  105. Vaalmikki Argoon & Spiros Bougheas & Chris Milner, 2013. "Lead-Lag Relationships and Institutional Ownership: Evidence from an Embryonic Equity Market," Discussion Papers 2013/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  106. Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1337-1361, June.
  107. Erten, Irem & Okay, Nesrin, 2012. "Deciphering Liquidity Risk on the Istanbul Stock Exchange," MPRA Paper 56148, University Library of Munich, Germany, revised 2012.
  108. Haiyan Zhou & Stephen Owusu-Ansah, 2014. "Cross listing, disclosure regimes, and trading volume sensitivity to stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 383-406, July.
  109. Andrey Kudryavtsev, 2015. "Informational Content of Open-to-Close Stock Returns," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(1), pages 5-17.
  110. Chuang, Wen-I & Susmel, Rauli, 2011. "Who is the more overconfident trader? Individual vs. institutional investors," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1626-1644, July.
  111. Supriya Maheshwari & Raj S. Dhankar, 2017. "Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market," Global Business Review, International Management Institute, vol. 18(4), pages 974-992, August.
  112. Holmes, Phil & Rougier, Jonathan, 2005. "Trading volume and contract rollover in futures contracts," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 317-338, March.
  113. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
  114. Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012. "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, vol. 23(1), pages 1-15.
  115. Hong Cheng & Yunqing Wang & Yihong Wang & Tinggan Yang, 2022. "Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 719-748, February.
  116. Chan, Kalok & Hameed, Allaudeen, 2006. "Stock price synchronicity and analyst coverage in emerging markets," Journal of Financial Economics, Elsevier, vol. 80(1), pages 115-147, April.
  117. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 422-444.
  118. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
  119. Sharifkhani, Ali & Simutin, Mikhail, 2021. "Feedback loops in industry trade networks and the term structure of momentum profits," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1171-1187.
  120. Chaoshin Chiao & Ken Hung & Suresh Srivastava, 2004. "Testing lead-lag relations between portfolio returns under price-limits," Applied Economics Letters, Taylor & Francis Journals, vol. 11(5), pages 313-317.
  121. Marcus Alexander Ong, 2015. "An information theoretic analysis of stock returns, volatility and trading volumes," Applied Economics, Taylor & Francis Journals, vol. 47(36), pages 3891-3906, August.
  122. Ghysels, Eric & Pereira, João Pedro, 2008. "Liquidity and conditional portfolio choice: A nonparametric investigation," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 679-699, September.
  123. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York.
  124. Qiao, Zhuo & Li, Yuming & Wong, Wing-Keung, 2008. "Policy change and lead-lag relations among China's segmented stock markets," Journal of Multinational Financial Management, Elsevier, vol. 18(3), pages 276-289, July.
  125. Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012. "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, vol. 105(1), pages 209-227.
  126. Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
  127. Loh, Roger, 2008. "Investor Attention and the Underreaction to Stock Recommendations," Working Paper Series 2008-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  128. Eric Andr'e & Guillaume Coqueret, 2020. "Dirichlet policies for reinforced factor portfolios," Papers 2011.05381, arXiv.org, revised Jun 2021.
  129. Ouarda Moatemri & Abdelfeteh El-Bori, 2017. "Trading Volume Levels and Stock Returns: Empirical Behavioral Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 632-638.
  130. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2015. "The effects of non-trading on the illiquidity ratio," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 204-228.
  131. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
  132. Bernhardt, Dan & Mahani, Reza S., 2007. "Asymmetric information and stock return cross-autocorrelations," Economics Letters, Elsevier, vol. 96(1), pages 14-22, July.
  133. Suman Gupta & Vinay Goyal & Vinay Kumar Kalakbandi & Sankarshan Basu, 2018. "Overconfidence, trading volume and liquidity effect in Asia’s Giants: evidence from pre-, during- and post-global recession," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(3), pages 235-257, September.
  134. Agapova, Anna & Kaprielyan, Margarita, 2020. "Stock volatility and trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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