메뉴 건너뛰기




Volumn 10, Issue 3, 2000, Pages 299-310

Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0003328669     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031000331707     Document Type: Article
Times cited : (4)

References (24)
  • 3
    • 0010922865 scopus 로고    scopus 로고
    • Common volatility in major stock index future markets
    • Booth and Chowdhury (1996) Common volatility in major stock index future markets, European Journal of Operational Research, 95, 623-30.
    • (1996) European Journal of Operational Research , vol.95 , pp. 623-630
    • Booth1    Chowdhury2
  • 4
    • 84977337748 scopus 로고
    • The return generating process, return variances, and the effects of thinness in securities markets
    • Cohen, K. J., Maier, S. S., Scwartz, A. and Whitcomb D. K. (1978) The return generating process, return variances, and the effects of thinness in securities markets, Journal of Finance, 1, 149-67.
    • (1978) Journal of Finance , vol.1 , pp. 149-167
    • Cohen, K.J.1    Maier, S.S.2    Scwartz, A.3    Whitcomb, D.K.4
  • 6
    • 49149143225 scopus 로고
    • Stock returns and the weekend effect
    • French, K. R. (1980) Stock returns and the weekend effect, Journal of Financial Economics, 8, 56-69.
    • (1980) Journal of Financial Economics , vol.8 , pp. 56-69
    • French, K.R.1
  • 7
    • 0039084784 scopus 로고
    • Stock return variances: The arrival of information and the reaction of traders
    • French, K. R. and Roll, R. (1986) Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.
    • (1986) Journal of Financial Economics , vol.17 , pp. 5-26
    • French, K.R.1    Roll, R.2
  • 10
    • 0000334056 scopus 로고
    • Day of the week effects and asset returns
    • Gibbons, M. R. and Hess, P. (1981) Day of the week effects and asset returns, Journal of Business, 58, 570-96.
    • (1981) Journal of Business , vol.58 , pp. 570-596
    • Gibbons, M.R.1    Hess, P.2
  • 11
    • 46149130184 scopus 로고
    • A transaction data study of weekly and intradaily patterns in stock returns
    • Harris, L. (1986) A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics, 16, 99-117.
    • (1986) Journal of Financial Economics , vol.16 , pp. 99-117
    • Harris, L.1
  • 13
    • 84977734958 scopus 로고
    • An examination of stock market return volatility during overnight and intraday periods 1964-1989
    • Lockwood, L. J. and Linn, S. C. (1990) An examination of stock market return volatility during overnight and intraday periods 1964-1989. Journal of Finance, 2, 591-601.
    • (1990) Journal of Finance , vol.2 , pp. 591-601
    • Lockwood, L.J.1    Linn, S.C.2
  • 14
    • 45249127135 scopus 로고
    • The size and power of the variance ratio test in finite samples: A Monte Carlo investigation
    • Lo, A. W. and MacKinlay, G. A. (1990) The size and power of the variance ratio test in finite samples: a Monte Carlo investigation, Journal of Econometrics, 40, 203-38.
    • (1990) Journal of Econometrics , vol.40 , pp. 203-238
    • Lo, A.W.1    MacKinlay, G.A.2
  • 15
    • 0016102905 scopus 로고
    • Insurance as a market in contigent claims-structure and performance
    • Marshall, J. M. (1974) Insurance as a market in contigent claims-structure and performance, The Rand Journal of Economics, 5, 670.
    • (1974) The Rand Journal of Economics , vol.5 , pp. 670
    • Marshall, J.M.1
  • 16
    • 84944836686 scopus 로고
    • An investigation of transactions data for NYSE stocks
    • McInish, T. H., Wood, R. A. and Ord, J. K. (1985) An investigation of transactions data for NYSE stocks, Journal of Finance, 40, 723-41.
    • (1985) Journal of Finance , vol.40 , pp. 723-741
    • McInish, T.H.1    Wood, R.A.2    Ord, J.K.3
  • 17
    • 0001992627 scopus 로고
    • A transactions data analysis of the variability of common stock returns during 1980-84
    • McInish, T. H., Wood, R. A. and Ord, J. K. (1990) A transactions data analysis of the variability of common stock returns during 1980-84, Journal of Banking and Finance, 14.
    • (1990) Journal of Banking and Finance , vol.14
    • McInish, T.H.1    Wood, R.A.2    Ord, J.K.3
  • 18
    • 84977718754 scopus 로고
    • Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy
    • Ross, S. A. (1989) Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy, Journal of Finance, 44, 1-18.
    • (1989) Journal of Finance , vol.44 , pp. 1-18
    • Ross, S.A.1
  • 19
    • 0037686998 scopus 로고
    • Securities market efficiency in an Arrow-Debreu economy
    • Rubinstein, M. (1975) Securities market efficiency in an Arrow-Debreu economy, The American Economic Review, 65, 812.
    • (1975) The American Economic Review , vol.65 , pp. 812
    • Rubinstein, M.1
  • 22
    • 0040863105 scopus 로고
    • Thinness in capital markets: The case of the Tel-Aviv stock exchange
    • Silber, W. (1975) Thinness in capital markets: the case of the Tel-Aviv stock exchange, Journal of Financial and Quantative Analysis, 129-33.
    • (1975) Journal of Financial and Quantative Analysis , pp. 129-133
    • Silber, W.1
  • 24
    • 0000876455 scopus 로고
    • Risk aversion, market liquidity, and price efficiency
    • Subrahmanyan, A. (1991) Risk aversion, market liquidity, and price efficiency, Review of Financial Studies, 4, 17-51.
    • (1991) Review of Financial Studies , vol.4 , pp. 17-51
    • Subrahmanyan, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.