Trading volume and serial correlation in stock returns
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Trading volume and serial correlation in stock returns by John Y. Campbell

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Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

Subjects:

  • Stock exchanges -- United States -- Econometric models.,
  • Stocks -- Prices -- United States -- Econometric models.

Book details:

Edition Notes

StatementJohn Y. Campbell, Sanford J. Grossman, Jiang Wang.
SeriesNBER working paper series -- working paper no. 4193, Working paper series (National Bureau of Economic Research) -- working paper no. 4193.
ContributionsGrossman, Sanford J., National Bureau of Economic Research.
The Physical Object
Pagination30, [13] p. :
Number of Pages30
ID Numbers
Open LibraryOL22439367M

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Trading Volume and Serial Correlation in Stock Returns John Y. Campbell, Sanford J. Grossman, Jiang Wang. NBER Working Paper No. Issued in October NBER Program(s):Asset Pricing Program This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. Trading Volume and Serial Correlation in Stock Returns Article (PDF Available) in Quarterly Journal of Economics (4) February with Reads How we measure 'reads'. Get this from a library! Trading volume and serial correlation in stock returns. [John Y Campbell; Sanford J Grossman; National Bureau of Economic Research.]. John Y. Campbell & Sanford J. Grossman & Jiang Wang, "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, Oxford University Press, vol. (4), pages

Campbell JY, Grossman SJ, Wang J. Trading Volume and Serial Correlation in Stock Returns. Quarterly Journal of Economics. ; (4)Cited by:   The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" by: Get this from a library! Trading Volume and Serial Correlation in Stock Returns. [Jiang Wang; John Y Campbell; Sanford J Grossman; National Bureau of Economic Research.;] -- This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline. Downloadable! This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or .

The relationship between trading volume and securities prices is a complex one which, when 4 Serial Correlation of Returns with Abnormal Volume 18 Stock Exchange (NYSE), the average daily volume for was billion shares, contributingFile Size: KB. Trading Volume, Volatility, and the Serial Correlation of Stock Market Returns ABSTRACT In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at international stock markets. We test a number of theoretical models which suggest that the trading volume and volatility can predict future behavior. The lack of adequate trading volume in stock that may ultimately lead to its ability to produce excess returns is referred to as the _____. liquidity effect Fundamental analysis determines that the price of a firm's stock is too low, given its intrinsic value. Now, with The Trader’s Book of Volume, his secrets are yours! Focusing exclusively on volume technical analysis, The Trader’s Book of Volume describes the basics of volume, explains how to use it to identify and assess the strength of trade-worthy trends, and provides in-depth techniques and strategies for trading volume indicators for profit/5(16).