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Citations for "Volume, Volatility, and the Dispersion of Beliefs"

by Shalen, Catherine T

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  1. Jinliang Li & Chunchi Wu, 2006. "Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2697-2740, September.
  2. Cees Diks & Roy van der Weide, 2003. "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers 03-073/1, Tinbergen Institute.
  3. Cai, Fang & Howorka, Edward & Wongswan, Jon, 2008. "Informational linkages across trading regions: Evidence from foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1215-1243, December.
  4. Geir H. Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2002. "Volume and Volatility in the FX-Market: Does it matter who you are?," CESifo Working Paper Series 786, CESifo Group Munich.
  5. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  6. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
  7. Ariane Szafarz, 2010. "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB 10-052, ULB -- Universite Libre de Bruxelles.
  8. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
  9. Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
  10. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
  11. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  12. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
  13. Bartosz Gębka & Dobromił Serwa, 2012. "Liquidity needs, private information, feedback trading: verifying motives to trade," National Bank of Poland Working Papers 119, National Bank of Poland, Economic Institute.
  14. Ling-Yun He & Sheng Yang & Wen-Si Xie & Zhi-Hong Han, 2014. "Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(1S), pages 148-166, January.
  15. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
  16. Robert Daigler, 2007. "Spread volume for currency futures," Journal of Economics and Finance, Springer, vol. 31(1), pages 12-19, March.
  17. 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.
  18. Albert Wang, F., 1998. "Strategic trading, asymmetric information and heterogeneous prior beliefs," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 321-352, September.
  19. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  20. Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Working Papers in Economics 13/23, University of Canterbury, Department of Economics and Finance.
  21. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  22. Robert Elliott & Tak Siu, 2015. "Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment," Asia-Pacific Financial Markets, Springer, vol. 22(2), pages 133-149, May.
  23. Anusha Chari, 2007. "Heterogeneous Market-Making in Foreign Exchange Markets: Evidence from Individual Bank Responses to Central Bank Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1131-1162, 08.
  24. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
  25. Koski, Jennifer Lynch, 1998. "Measurement Effects and the Variance of Returns after Stock Splits and Stock Dividends," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 143-62.
  26. Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, 09.
  27. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.
  28. Kao, Erin H. & Fung, Hung-Gay, 2012. "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 195-209.
  29. H. Henry Cao & Hui Ou-Yang, 2009. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 299-335, January.
  30. 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.
  31. Asani Sarkar & Robert A. Schwartz, 2009. "Market Sidedness: Insights into Motives for Trade Initiation," Journal of Finance, American Finance Association, vol. 64(1), pages 375-423, 02.
  32. Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
  33. Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle, 2014. "Disagreement and asset prices," Journal of Financial Economics, Elsevier, vol. 114(2), pages 226-238.
  34. Juan A. Lafuente & Manuel Illueca Muñoz, 2004. "Introducing The Mini-Futures Contract On Ibex-35: Implications For Price Discovery And Volatility Transmission," Working Papers. Serie EC 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  35. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
  36. Colm Kearney & Margaret Lynch, 2005. "Volume and Skewness in International Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp043, IIIS.
  37. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  38. Huang, Roger D. & Cai, Jun & Wang, Xiaozu, 2002. "Information-Based Trading in the Treasury Note Interdealer Broker Market," Journal of Financial Intermediation, Elsevier, vol. 11(3), pages 269-296, July.
  39. Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N., 2010. "Does the weather affect stock market volatility?," Finance Research Letters, Elsevier, vol. 7(4), pages 214-223, December.
  40. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
  41. Fang Cai & Edward Howorka & Jon Wongswan, 2006. "Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data," International Finance Discussion Papers 863, Board of Governors of the Federal Reserve System (U.S.).
  42. Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
  43. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc.
  44. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers.
  45. Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba, 2012. "Disagreement and Asset Prices," NBER Working Papers 18619, National Bureau of Economic Research, Inc.
  46. Cees Diks & Roy van der Weide, 2003. "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers 03-073/1, Tinbergen Institute.
  47. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
  48. Radalj, Kim F. & McAleer, Michael, 2005. "Speculation and destabilisation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 151-161.
  49. repec:ipg:wpaper:28 is not listed on IDEAS
  50. Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Tinbergen Institute Discussion Papers 13-086/III, Tinbergen Institute.
  51. Robert A. Connolly & Christopher T. Stivers, 2000. "Evidence on the Economics of Equity Return Volatility Clustering," Econometric Society World Congress 2000 Contributed Papers 1575, Econometric Society.
  52. Choy, Siu Kai & Wei, Jason, 2012. "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2299-2322.
  53. Siwar, Ellouz, 2011. "The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market," Economics Papers from University Paris Dauphine 123456789/11681, Paris Dauphine University.
  54. Oh, Natalie Y. & Parwada, Jerry T., 2007. "Relations between mutual fund flows and stock market returns in Korea," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 140-151, April.
  55. Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
  56. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
  57. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
  58. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
  59. Christian Upper, 2006. "Derivatives activity and monetary policy," BIS Quarterly Review, Bank for International Settlements, September.
  60. Bai, Min & Qin, Yafeng, 2014. "Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 98-122.
  61. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
  62. Wang, Changyun, 2001. "The effect of net positions by type of trader on volatility in foreign currency futures markets," MPRA Paper 36428, University Library of Munich, Germany, revised Nov 2001.
  63. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
  64. Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti, 2012. "Testing the Effects of Short-Selling Restrictions on Asset Prices," Working Papers, Department of Economics 2012_18, University of São Paulo (FEA-USP).
  65. Naes, Randi & Skjeltorp, Johannes A., 2006. "Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market," Journal of Financial Markets, Elsevier, vol. 9(4), pages 408-432, November.
  66. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.
  67. Randi Naes & Johannes A. Skjeltorp, 2003. "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper 2003/9, Norges Bank.
  68. Zaiane Salma & Abaoub Ezzeddine, 2008. "Overconfidence And Trading Volume: Evidence From An Emergent Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(10), pages 41.
  69. Connolly, Robert & Stivers, Chris, 2006. "Information content and other characteristics of the daily cross-sectional dispersion in stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 79-112, January.
  70. Hutson, Elaine & Kearney, Colm, 2001. "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 273-296, July.
  71. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2005. "Measuring Liquidity in the Greek Government Securities Market," Working Papers 23, Bank of Greece.
  72. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
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