The effects of trading activity on market volatility

By Giampiero M. Gallo, Barbara Pacini. 2000

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/29302c5c3a8c5cd52e47f7c100de09724810f8ce

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Heejoon Han
2. Dennis Kristensen
3. Martin T. Bohl
4. Mohsen Bahmani-Oskooee *
5. Xiaohong Chen
6. Christian M. Hafner
7. Arie Preminger

In Finance

1. Heejoon Han
2. Dennis Kristensen
3. Christian Francq
4. Le Quyen Thieu
5. Mohsen Bahmani-Oskooee *
6. Christian M. Hafner
7. Yang Zu
8. H. Peter Boswijk

Citations in the corpus

• Trading volume and stock market volatility: The Polish case (2003, background): “This linkage has been documented, among others, for the U.S. stock market by Andersen (1996), Gallo and Pacini (2000), Kim and Kon (1994), and Lamoureux and Lastrapes (1990) and the UK stock market by Omran and McKenzie (2000).”
• Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (2013, background): “, 1996; Glosten et al, 1993; Gray, 1996), bid-ask spreads (Bollerslev and Melvin, 1994), interest rate spreads (Dominguez, 1998; Hagiwara & Herce, 1999), forward-spot spreads (Hodrick, 1989), futures open interest (Girma and Mougoue, 2002), information ‡ow (Gallo and Pacini, 2000), and trading volum”