A note on price-volume dynamics in an emerging stock market

Journal of Banking and Finance

Volumn 20, Issue 2, 1996, Pages 389-400

  Başci, Erdem ^a   Özyildirim, Süheyla ^a   Aydoǧan, Kürşat ^a  

^a BILKENT UNIVERSITY   (Turkey)

Author keywords

Cointegration; Emerging market; Error correction models; Heterogeneous expectations; Trading volume

Indexed keywords

EID: 0030101804     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-4266(95)00003-8     Document Type: Article

References (10)

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4. Grossman, S. and J.E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
5. Karpoff, J.M., 1987, The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis 22, 109-126.
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7. Lucas, R.E., 1978, Asset prices in an exchange economy, Econometrica 46, 1429-1445.
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10. Sharpe, W., 1991, Capital asset prices with and without negative holdings, Journal of Finance 46, 489-509.