Journal ArticleDOI
The Relation between Price Changes and Trading Volume: A Survey
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TLDR
In this paper, the authors reviewed previous and current research on the relation between price changes and trading volume in financial markets, and made four contributions: two empirical relations are established: volume is positively related to the magnitude of the price change and, in equity markets, to the price changes per se.Abstract:
This paper reviews previous and current research on the relation between price changes and trading volume in financial markets, and makes four contributions. First, two empirical relations are established: volume is positively related to the magnitude of the price change and, in equity markets, to the price change per se. Second, previous theoretical research on the price-volume relation is summarized and critiqued, and major insights are emphasized. Third, a simple model of the price-volume relation is proposed that is consistent with several seemingly unrelated or contradictory observations. And fourth, several directions for future research are identified.read more
Citations
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Illiquidity and stock returns: cross-section and time-series effects $
TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
Journal ArticleDOI
ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
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Why Does Stock Market Volatility Change Over Time
TL;DR: The authors analyzes the relation of stock volatility with real and nominal macroeconomic volatility, economic activity, financial leverage, and stock trading activity using monthly data from 1857 to 1987, finding that stock return variability was unusually high during the 1929-1939 Great Depression.
Journal ArticleDOI
All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad M. Barber,Terrance Odean +1 more
TL;DR: In this paper, the authors test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one day returns.
Journal ArticleDOI
All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad M. Barber,Terrance Odean +1 more
TL;DR: In this paper, the authors test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one-day returns.
References
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Journal ArticleDOI
A subordinated stochastic process model with finite variance for speculative prices
TL;DR: In this article, a general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences.
Book
The information content of annual earnings announcements
TL;DR: The authors empirically examined the extent to which common stock investors perceive earnings to possess informational value and found that the earnings term was the most important explanatory variable in the valuation equation, and that the relationship is a necessary condition for earnings to have information content.
Journal ArticleDOI
Information Effects on the Bid‐Ask Spread
Thomas E. Copeland,Dan Galai +1 more
TL;DR: In this paper, it is shown that the bid-ask spread is a positive function of the price level and return variance, a negative function of measures of market activity, depth, and continuity, and negatively correlated with the degree of competition.
Journal ArticleDOI
The price variability-volume relationship on speculative markets
George Tauchen,Mark Pitts +1 more
TL;DR: In this article, the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets was investigated and the results of the estimation can reconcile a conflict between the price variability-volume relationship for this market and the relationship obtained by previous investigators for other speculative markets.