The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.
Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets
Abstract
Hendrik Bessembinder, Paul J. Seguin, Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets, The Journal of Financial and Quantitative Analysis, Vol. 28, No. 1 (Mar., 1993), pp. 21-39
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Citations
Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Continuous Auctions and Insider Trading
Kyle, A. S. (1985) · Econometrica · doi:10.2307/1913210 · Cited by 9,580
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Introduction to Statistical Time Series
McClave, J. T. (1978) · Technometrics · doi:10.1080/00401706.1978.10489651 · Cited by 4,252
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
A Theory of Intraday Patterns: Volume and Price Variability
Admati, A. R., & Pfleiderer, P. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.3 · Cited by 3,119
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Clark, P. K. (1973) · Econometrica · doi:10.2307/1913889 · Cited by 2,779
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
The Relation Between Price Changes and Trading Volume: A Survey
Karpoff, J. M. (1987) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2330874 · Cited by 2,377
Cited by
Investor Overconfidence and Trading Volume
Statman, M., Thorley, S., & Vorkink, K. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj032 · Cited by 959
Fleming, J., Kirby, C., & Ostdiek, B. (1998) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00019-1 · Cited by 434
Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I
Balietti, A. C. (2016) · Energy Policy · doi:10.1016/j.enpol.2016.09.006 · Cited by 55
Does Agricultural Commodity Speculation Contribute to Sustainable Development?
Kleinau, C., & Lin-Hi, N. (2014) · Corporate Governance · doi:10.1108/cg-07-2014-0083 · Cited by 4
Metadata
- Authors
- Bessembinder, H., & Seguin, P. J.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1993-03
- Volume
- 28
- Issue
- 1
- Pages
- 21
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2086729180
- Cited by
- 667
- References
- 36
- FWCI
- 10.51
- Type
- journal article
- Language
- en
- Open access
- closed
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- Bessembinder, H., & Seguin, P. J. (1993). Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2331149
Data sources
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.
