Information transmission in the shanghai equity market

Journal of Financial Research

Volumn 22, Issue 1, 1999, Pages 29-45

  Long, D Michael ^a   Payne, Janet D ^b   Feng, Chenyang ^c  

^a UNIVERSITY OF TENNESSEE AT CHATTANOOGA   (United States)

^b UNIVERSITY OF SOUTH ALABAMA   (United States)

^c Providian Financial Corporation   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042072499     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1999.tb00713.x     Document Type: Article

References (21)

1. Basci, E., S. Ozyildirim, and K. Aydogan, 1996, A note on price-volume dynamics in an emerging market, Journal of Banking and Finance 20, 389–400.
2. Clark, P. K., 1973, A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41, 135–55.
3. 2: A first look, Journal of Financial Research 13, 1–6.
4. Crouch, R. L., 1970, The volume of transactions and price changes on the New York Stock Exchange, Financial Analyst Journal 26, 104–9.
5. Dickey, D. A. and W. A Fuller, 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 1057–72.
6. Fama, E., 1965, The behavior of stock market price, Journal of Business and Finance, 561–75.
7. Fuller, W. A., 1976, Introduction to Statistical Time Series (John Wiley and Sons, New York).
8. Gallant, A. R., P. E. Rossi, and G. E. Tauchen, 1992, Stock prices and volume, Review of Financial Studies, 199–242.
9. Huang, B. N., 1995, Do Asian stock market prices follow random walks? Evidence from the variance ratio test, Applied Financial Economics 5, 251–56.
10. Jones, C. M., G. Kaul, and M. Lipson, 1994, Transactions, volume and volatility, Review of Financial Studies 7, 631–51.
11. Karpoff, J. M., 1987, The relation between price changes and trading volume—A survey, Journal of Financial and Quantitative Analysis, 109–26.
12. Karpoff, J. M., 1988, Costly short sales and the correlation of returns with volume, Journal of Financial Research 11, 173–88.
13. Lamoureaux, C. G. and W. D. Lastrapes, 1990, Heteroskedasticity in stock return data: Volume versus GARCH effects, Journal of Finance, 221–29.
14. Lo, A. and C. MacKinlay, 1988, Stock market prices do not follow random walks: Evidence from a simple specification test, Review of Financial Studies, 41–66.
15. Long, D. M. and D. T. Officer, 1997, The relation between option mispricing and volume in the Black-Scholes option pricing model, Journal of Financial Research 20, 1–12.
16. Robin, A. J., 1993, On improving the performance of the market model, Journal of Financial Research 16, 367–76.
17. Smirlock, M. and L. Starks, 1985, A further examination of stock price changes and transaction volume, Journal of Financial Research 8, 217–25.
18. Summers, L. H., 1986, Does the stock market rationally reflect fundamental values, Journal of Finance, 591–601.
19. Tauchen, G. E. and M. Pitts, 1983, The price variability-volume relationship on speculative markets, Econometrica 51, 485–505.
20. Urrutia, J. L., 1995, Tests of random walk and market efficiency for Latin American emerging equity markets, Journal of Financial Research 18, 299–309.
21. World Bank, 1995, China, The Emerging Capital Market, Vols. I and II (World Bank, East Asia and Pacific Region).