메뉴 건너뛰기
Applied Financial Economics
Volumn 9, Issue 6, 1999, Pages 627-637
The interactions between trading volume and volatility: Evidence from the equity options markets
Author keywords

[No Author keywords available]
Indexed keywords

EID: 0038851572     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031099332078     Document Type: Article
Times cited : (3)
References (13)
  • 1
    • 84977709674 scopus 로고
    • The interrelation of stock and options market trading-volume data
    • Anthony, J. (1988) The interrelation of stock and options market trading-volume data, Journal of Finance, 43, 949-64.
    • (1988) Journal of Finance , vol.43 , pp. 949-964
    • Anthony, J.1
  • 2
    • 84993888588 scopus 로고
    • Futures-trading activity and stock price volatility
    • Bessembinder, H. and Seguin, P. (1992) Futures-trading activity and stock price volatility, Journal of Finance, 47, 2015-34.
    • (1992) Journal of Finance , vol.47 , pp. 2015-2034
    • Bessembinder, H.1    Seguin, P.2
  • 3
    • 84971844636 scopus 로고
    • Price volatility, trading volume, and market depth: Evidence from futures markets
    • Bessembinder, H. and Seguin, P. (1993) Price volatility, trading volume, and market depth: evidence from futures markets, Journal of Financial and Quantitative Analysis, 28, 21-39.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 21-39
    • Bessembinder, H.1    Seguin, P.2
  • 4
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 5
    • 84950643380 scopus 로고
    • Intervention analysis with applications to economic and environmental problems
    • Box, G. and Tiao, G. (1975) Intervention analysis with applications to economic and environmental problems. Journal of the American Statistical Association, 70, 71-8.
    • (1975) Journal of the American Statistical Association , vol.70 , pp. 71-78
    • Box, G.1    Tiao, G.2
  • 6
    • 49049143130 scopus 로고
    • The stochastic behavior of common stock variances
    • Christie, A. (1982) The stochastic behavior of common stock variances, Journal of Financial Economics, 10, 407-32.
    • (1982) Journal of Financial Economics , vol.10 , pp. 407-432
    • Christie, A.1
  • 7
    • 0001381794 scopus 로고
    • Stock volatility and the crash of '87
    • Engle, R. (1990) Stock volatility and the crash of '87, Review of Financial Studies, 3, 103-6.
    • (1990) Review of Financial Studies , vol.3 , pp. 103-106
    • Engle, R.1
  • 8
    • 0000990912 scopus 로고
    • Transaction data, tests of the mixture of distribution hypothesis
    • Harris, R. (1987) Transaction data, tests of the mixture of distribution hypothesis, Journal of Financial and Quantitative Analysis, 22, 127-41.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 127-141
    • Harris, R.1
  • 9
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume: A survey
    • Karpoff, J. (1987) The relation between price changes and trading volume: a survey, Journal of Financial and Quantitative Analysis, 22, 109-23.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-123
    • Karpoff, J.1
  • 10
    • 84977718808 scopus 로고
    • Heteroskedasticity in stock return data: Volume versus GARCH effects
    • Lamoureux, C. and Lastrapes, W. (1990) Heteroskedasticity in stock return data: volume versus GARCH effects, Journal of Finance, 45, 221-30.
    • (1990) Journal of Finance , vol.45 , pp. 221-230
    • Lamoureux, C.1    Lastrapes, W.2
  • 11
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in stock returns: A new approach
    • Neslon, D. (1991) Conditional heteroscedasticity in stock returns: a new approach, Econometrica, 59, 347-70.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Neslon, D.1
  • 12
    • 84977707955 scopus 로고
    • Why does stock market volatility change over time?
    • Schwert, G. W. (1989) Why does stock market volatility change over time? Journal of Finance, 44, 1115-53.
    • (1989) Journal of Finance , vol.44 , pp. 1115-1153
    • Schwert, G.W.1
  • 13
    • 0002600995 scopus 로고
    • Program trading and expiration-day effects
    • Stoll, H. and Whaley, R. (1987) Program trading and expiration-day effects, Financial Analysts Journal, 43 (March-April), 16-28.
    • (1987) Financial Analysts Journal , vol.43 , Issue.MARCH-APRIL , pp. 16-28
    • Stoll, H.1    Whaley, R.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.