Return Volatility, Trading Imbalance and the Information Content of Volume

Review of Quantitative Finance and Accounting

Volumn 14, Issue 2, 2000, Pages 131-153

  Chunchi, W U ^a   Xiaoqing Eleanor, X U ^b  

^a SYRACUSE UNIVERSITY   (United States)

^b SAINT LOUIS UNIVERSITY   (United States)

Author keywords

GARCH; Trade imbalance; Transaction size and frequency

Indexed keywords

EID: 4043111775     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/a:1008351628549     Document Type: Article

References (35)

1. Andersen, T.G., "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility." Journal of Finance 50, 169-204, (1996).
2. Admati, A.R. and P. Pfleiderer, "A Theory of Intraday Trading Patterns: Volume and Price Variability." Review of Financial Studies 1, 3-40, (1988).
3. Bollerslev, T, "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31, 307-327, (1986).
4. Clark, P.K., "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica 41, 135-155, (1973).
5. Dontoh, A. and J. Ronen, "Information Content of Accounting Announcements." Accounting Review 68(4), 857-869, (1993).
6. Easley, D., N.M. Kiefer, M. O'Hara, and J.B. Paperman, "Liquidity, Information, and Infrequently Traded Stocks." Journal of Finance 51, 1405-1436, (1996).
7. Engle, R.F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50, 987-1007, (1982).
8. Foster, F.D. and S. Viswanathan, "A Theory of Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets." Review of Financial Studies 3, 593-624, (1990).
9. Foster, F.D. and S. Viswanathan, "Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models." Journal of Finance 48, 187-211, (1993).
10. Foster, F.D. and S. Viswanathan, "Can Speculative Trading Explain the Volume-Volatility Relation?" Journal of Business and Economic Statistics 13(4), 379-396, (1995).
11. Gallant, A.R., P.E. Rossi, and G.E. Tauchen, "Stock Prices and Volume." Review of Financial Studies 5, 199-242, (1992).
12. Glosten, L.R. and PR. Milgrom, "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics 14, 71-100, (1985).
13. Grundy, B.D. and M. McNichols, "Trade and Revelation of Information through Prices and Direct Disclosure." Review of Financial Studies 2, 495-526, (1989).
14. Harris, M. and A. Raviv, "Difference of Opinion Make a Horse Race." Review of Financial Studies 6,473-506, (1993).
15. Hasbrouck, J., "Measuring the Information Content of Stock Trades." Journal of Finance 46, 179-207, (1991).
16. Hasbrouck, J., "One Security, Many Markets: Determining the Contributions to Price Discovery." Journal of Finance 50, 1175-1199, (1995).
17. Hansen, L.P., "The Large Properties of Generalized Method of Moments Estimators." Econometrica 50, 1029-1054, (1982).
18. Heimstra, C. and J.D. Jones, "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation." Journal of Finance 49, 1639-1664, (1994).
19. He, H. and J. Wang, "Differential Information and Dynamic Behavior of Stock Trading Volume." Review of Financial Studies 4, 919-972, (1995).
20. Holden, C.W. and A. Subrahmanyam, "Long-lived Private Information and Imperfect Competition." Journal of Finance 47, 247-270, (1992).
21. Holden, C.W. and A. Subrahmanyam, "Risk Aversion, Liquidity, and Endogenous Short Horizons." Review of Financial Studies 9, 691-772, (1996).
22. Holthausen, R.W. and R.E. Verrecchia, "The Effects of Informedness and Consensus on Price and Volume Behavior." Accounting Review 65, 191-208, (1990).
23. Jones, M.J., G. Kaul, and M.L. Lipson, "Transactions, Volume, and Volatility." Review of Financial Studies 7, 631-651, (1994).
24. Karpoff, J.M., "The Relation between Price Changes and Trading Volume: A Survey." Journal of Financial and Quantitative Analysis 22, 109-126, (1987).
25. Kim, O. and R.E. Verrecchia, "Market Reaction to Anticipated Announcements." Journal of Financial Economics 30, 273-309, (1991).
26. Kyle, A.S., "Continuous Auctions and Insider Trading." Economectrica 53, 1315-1335, (1985).
27. Lamoureux, C.G. and W.D. Lastrapes, "Heteroskedasticity in Stock Return Data: Volume vs. GARCH Effects." Journal of Finance 45, 221-229, (1990).
28. Lamoureux, C.G. and W.-D. Lastrapes, "Endogenous Trading Volume and Momentum in Stock-Return Volatility." Journal of Business and Economic Statistics 12, 253-260, (1994).
29. Lo, W.A. and A. Craig MacKinlay, "When Are Contrarian Profits Due to Stock Market Overreaction?" Review of Financial Studies 3, 175-205, (1990).
30. Madhavan, A., M. Richardson, and M. Roomans, "Why Do Security Prices-Change? A Transaction-Level Analysis of NYSE Stocks?" Review of Financial Studies 10, 1035-1064, (1997).
31. Pfleiderer, P., The Volume of Trade and Variability of Prices: A Framework for Analysis in Noisy Rational Expectations Equilibria, working paper, Stanford University, 1984.
32. Richardson, M. and T. Smith, "A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information." Journal of Financial and Quantitative Analysis 29, 101-116, (1994).
33. Schwert, G.W., "Why does Stock Market Volatility Change Over Time?" Journal of Finance 44, 1115-1153, (1989).
34. Schwert, G.W., "Stock Volatility and the Crash of '87." Review of Financial Studies 3, 77-102, (1990).
35. Tauchen, G.E. and M. Pitts, "The Price Volatility-Volume Relationship on Speculative Markets." Econometrica 51, 485-505, (1983).