The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation
Abstract
Linear and nonlinear Granger causality tests are used to examine the dynamic relation between daily Dow Jones stock returns and percentage changes in New York Stock Exchange trading volume. We find evidence of significant bidirectional nonlinear causality between returns and volume. We also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by Clark's (1973) latent common‐factor model. After controlling for volatility persistence in returns, we continue to find evidence of nonlinear causality from volume to returns.
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Cites
A new look at the statistical model identification
Akaike, H. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100705 · Cited by 51,879
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
ANDERSEN, T. G. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05206.x · Cited by 1,020
A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, C., & Panchenko, V. (2006) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2005.08.008 · Cited by 962
Oil price shocks, geopolitical risks, and green bond market dynamics
Lee, C.-C., Lee, C.-C., & Li, Y.-Y. (2021) · The North American Journal of Economics and Finance · doi:10.1016/j.najef.2020.101309 · Cited by 341
Luo, X., & Donthu, N. (2006) · Journal of Marketing · doi:10.1509/jmkg.70.4.070 · Cited by 211
Technical trading strategies and return predictability: NYSE
Kwon, K.-Y., & Kish, R. J. (2002) · Applied Financial Economics · doi:10.1080/09603100010016139 · Cited by 128
Metadata
- Authors
- HIEMSTRA, C., & JONES, J. D.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1994-12
- Volume
- 49
- Issue
- 5
- Pages
- 1639-1664
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2049239673
- Cited by
- 1,487
- References
- 3
- FWCI
- 15.64
- Type
- journal article
- Language
- en
- Open access
- closed
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- HIEMSTRA, C., & JONES, J. D. (1994). Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1994.tb04776.x
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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.
