Recent growth in nasdaq trading volume and its relation to market volatility

Journal of Financial Research

Volumn 22, Issue 4, 1999, Pages 489-501

  Freund, Steven ^a   Webb, Gwendolyn P ^b  

^a SUFFOLK UNIVERSITY   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644984315     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1999.tb00707.x     Document Type: Article

References (11)

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2. French, K. R., G. W. Schwert, and R. F. Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics 19, 3–29.
3. Karpoff, J. M., 1987, The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis 22, 109–26.
4. Lamoureux, C. G., 1991, Option listing does not affect the variance of the underlying stock, Working paper, Washington University.
5. Lohse, D. and D. Kansas, 1996, Big board is crying foul to regulators over how Nasdaq figures daily volume, Wall Street Journal Aug. 5, p. C1.
6. Lucchetti, A., 1998, Nasdaq to change way it counts some trades, Wall Street Journal June 7, p. C1.
7. MacDonald, J. A. and H. A. Shawky, 1995, On estimating stock market volatility: An exploratory approach, Journal of Financial Research 18, 449–63.
8. Merton, R. C., 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics 8, 323–61.
9. The New York Stock Exchange Fact Book, 1997 (New York Stock Exchange, New York).
10. Norris, F., 1995, Nasdaq's secret: Insiders can sell more stock, The New York Times Feb. 5, sect. 3 p. 1.
11. Schwert, G. W., 1989, Why does stock market volatility change over time, Journal of Finance 45, 1115–53.