Trading Volume and Cross-Autocorrelations in Stock Returns

By Tarun Chordia, Bhaskaran Swaminathan. 2000

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Citations in the corpus

Covariance measurement in the presence of non-synchronous trading and market microstructure noise (2011, unknown): “…trading has also received considerable attention in the literature on beta estimation for asset pricing (e.g. Shanken, 1987), index autocorrelation (e.g. Atchison, Butler, and Simonds, 1987; Lo and MacKinlay, 1990), and lead-lag patterns (Chordia and Swaminathan, 2000; de Jong and Nijman, 1997).”
Who is the more overconfident trader? Individual vs. institutional investors (2011, background): “…portfolios are based on the daily average trading turnover of the sample stocks over the previous year before the portfolio formation date (see also Chordia and Swaminathan (2000)). algorithm assures that stocks included in the same portfolio have similar firm size or trading volume and thus…”
Order imbalance and individual stock returns: theory and evidence (2004, background): “See Chordia and Swaminathan (2000) who document different speeds of adjustment to information across stock portfolios.”
The Information of Option Volume for Future Stock Prices (2004, unknown): “These controls are important, because stock returns are known to be related to trading volume (See, for example, Chordia and Swaminathan (2000), Gervais, Kaniel, and Mingelgrin (2001) and references therein).”
Economic Links and Predictable Returns (2008, background): “Confirming 18 Lo and MacKinlay (1990), Brennan, Jegadeesh, and Swaminathan (1993), Badrinath, Kale, and Noe (1995), and Chordia and Swaminathan (2000), Hou and Moskowitz (2005) and Hou (2006).”
Deviations from Put-Call Parity and Stock Return Predictability (2010, background): “This is because Friday-to-Friday returns have high autocorrelations, while Monday-to-Monday returns have low autocorrelations (e.g., Chordia and Swaminathan, 2000 ).”
International Stock Return Predictability: What is the Role of the United States? (2010, unknown): “…concern involves autocorrelation in particular portfolios in conjunction with contemporaneously correlated portfolio returns, which can generate spurious evidence of lead-lag relationships in portfolio returns (Boudoukh, Richardson, and Whitelaw, 1994; Hameed, 1997; Chordia and Swaminathan, 2000).”
Stock Return Predictability and Model Uncertainty (2002, unknown): “For example, Chordia and Swaminathan (2000) find that high volume stocks (mostly largecap stocks) respond rapidly whereas low volume stocks (mostly small-cap stocks) respond slowly to marketwide information.”
Geographic Lead-Lag Effects (2020, unknown): “We hypothesize that such little overlap creates 1Other proxies for investor scrutiny such as firm size and trading volume give similar results (Lo and MacKinlay (1990), Brennan, Jegadeesh, and Swaminathan (1993), McQueen, Pinegar, and Thorley (1996) and Chordia and Swaminathan (2000)).”