메뉴 건너뛰기




Volumn 39, Issue 1, 1999, Pages 59-76

Testing for linear and nonlinear Granger causality in the stock price-volume relation: Korean evidence

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0033099854     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1062-9769(99)80004-0     Document Type: Article
Times cited : (58)

References (31)
  • 1
    • 0016355478 scopus 로고
    • A new look at the statistical model identification
    • Akaike, Hirotugu. 1974. "A new look at the statistical model identification," IEEE Transactions on Automatic Control, 19: 716-723.
    • (1974) IEEE Transactions on Automatic Control , vol.19 , pp. 716-723
    • Akaike, H.1
  • 3
    • 84971844636 scopus 로고
    • Price volatility trading volume, and market depth: Evidence from future markets
    • Bessembinder, Hendrik, and Paul Seguin. 1993. "Price volatility trading volume, and market depth: Evidence from future markets." Journal of Financial and Quantitiative Analysis, 28: 21-38.
    • (1993) Journal of Financial and Quantitiative Analysis , vol.28 , pp. 21-38
    • Bessembinder, H.1    Seguin, P.2
  • 4
  • 6
    • 84960563837 scopus 로고
    • Trading volume and serial correlation in stock returns
    • Campbell, John, Sanford Grossman, and Jiang Wang. 1993. "Trading volume and serial correlation in stock returns." Quarterly Journal of Economics, 108: 905-939.
    • (1993) Quarterly Journal of Economics , vol.108 , pp. 905-939
    • Campbell, J.1    Grossman, S.2    Wang, J.3
  • 7
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variances for speculative prices
    • Clark, Peter. 1973. "A subordinated stochastic process model with finite variances for speculative prices." Econometrica, 41: 135-155.
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.1
  • 9
    • 84977712440 scopus 로고
    • Positive feedback investment strategies and destabilizing speculation
    • DeLong, James, Andrei Shleifer, Lawrence Summers, and Robert Waldmann. 1990. "Positive feedback investment strategies and destabilizing speculation." Journal of Finance, 45: 379-395.
    • (1990) Journal of Finance , vol.45 , pp. 379-395
    • DeLong, J.1    Shleifer, A.2    Summers, L.3    Waldmann, R.4
  • 10
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, David, and Wayne Fuller. 1979. "Distribution of the estimators for autoregressive time series with a unit root." Journal of the American Statistical Association, 74: 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.2
  • 11
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom inflation
    • Engle, Robert. 1982. "Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom inflation. Econometrica, 50: 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.1
  • 12
    • 0000756720 scopus 로고
    • The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distributions hypothesis
    • Epps, Thomas, and Mary Epps. 1976. "The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distributions hypothesis. Econometrica, 44: 305-321.
    • (1976) Econometrica , vol.44 , pp. 305-321
    • Epps, T.1    Epps, M.2
  • 14
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and cross-spectral methods
    • Granger, Clive. 1969. "Investigating causal relations by econometric models and cross-spectral methods." Econometrica, 37: 424-438.
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.1
  • 17
    • 84993869057 scopus 로고
    • Testing for linear and nonlinear Granger causality in the stock price-volume relation
    • 1994. "Testing for linear and nonlinear Granger causality in the stock price-volume relation." Journal of Finance, 5: 1639-1664.
    • (1994) Journal of Finance , vol.5 , pp. 1639-1664
  • 18
    • 84977719043 scopus 로고
    • Chaos and nonlinear dynamics: Application to financial markets
    • Hsieh, David. 1991. "Chaos and nonlinear dynamics: Application to financial markets." Journal of Finance, 46: 1839-1877.
    • (1991) Journal of Finance , vol.46 , pp. 1839-1877
    • Hsieh, D.1
  • 19
    • 5844348956 scopus 로고
    • Autoregressive modelling and money-income causal detection
    • Hsio, Cheng. 1981. "Autoregressive modelling and money-income causal detection." Journal of Monetary Economics, 7: 85-106.
    • (1981) Journal of Monetary Economics , vol.7 , pp. 85-106
    • Hsio, C.1
  • 20
    • 0009375491 scopus 로고
    • A study on the true Monday effect: Empirical analysis on the Korean and the U.S. Stock market
    • Korean
    • Jang, Kook-Hyun. 1992. "A study on the true Monday effect: Empirical analysis on the Korean and the U.S. Stock market." Study of Finance, No. 5, (Korean).
    • (1992) Study of Finance , vol.5
    • Jang, K.-H.1
  • 21
    • 84977337090 scopus 로고
    • An equilibrium model of asset trading with sequential information arrival
    • Jennings, Robert, Laura Starks, and John Fellingham. 1981. "An equilibrium model of asset trading with sequential information arrival." Journal of Finance, 36: 143-161.
    • (1981) Journal of Finance , vol.36 , pp. 143-161
    • Jennings, R.1    Starks, L.2    Fellingham, J.3
  • 22
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume: A survey
    • March
    • Karpoff, Jonathan. 1987. "The relation between price changes and trading volume: A survey." Journal of Financial and Quantitative Analysis, 22(March): 109-126.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.1
  • 24
    • 0009310314 scopus 로고
    • A study on the market anomalies in the Korean stock market: Investigating the January effect
    • Kim, Ki-Ho. 1991. "A study on the market anomalies in the Korean stock market: Investigating the January effect." Journal of Financial Management Research, 2: 70-92.
    • (1991) Journal of Financial Management Research , vol.2 , pp. 70-92
    • Kim, K.-H.1
  • 25
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
    • Kwiatkowski, Denis, Peter Phillips, Peter Schmidt and Yong Shin. 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?" Journal of Econometrics, 54: 159-178.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.2    Schmidt, P.3    Yong, S.4
  • 26
    • 0009310580 scopus 로고
    • Past price changes and current trading volume
    • Lakonishok, Josef, and Seymour Smidt. 1989. "Past price changes and current trading volume." Journal of Portfolio Management, 15: 18-24.
    • (1989) Journal of Portfolio Management , vol.15 , pp. 18-24
    • Lakonishok, J.1    Smidt, S.2
  • 28
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson, Daniel. 1991. "Conditional heteroskedasticity in asset returns: A new approach." Econometrica, 59: 347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 31
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Whitney, Newey, and Kenneth West. 1987. "A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix." Econometrica, 55: 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Whitney, N.1    West, K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.