The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Stock Prices and Volume
Open accessAbstract
We undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. We adjust the data to take into account well-known calendar effects and long-run trends. To describe the process, we use a seminonparametric estimate of the joint density of current price change and volume conditional on past price changes and volume. Four empirical regularities are found: (i) positive correlation between conditional volatility and volume; (ii) large price movements are followed by high volume; (iii) conditioning on lagged volume substantially attenuates the “leverage” effect; and (iv) after conditioning on lagged volume, there is a positive risk-return relation.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Yousaf, I., & Yarovaya, L. (2022) · Finance Research Letters · doi:10.1016/j.frl.2022.103175 · Cited by 79
Metadata
- Authors
- Gallant, A. R., Rossi, P. E., & Tauchen, G.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1992-04
- Volume
- 5
- Issue
- 2
- Pages
- 199-242
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2139080644
- Cited by
- 1,295
- References
- 1
- FWCI
- 47.63
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
