The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence

By Bong-Soo Lee, Oliver M. Rui. 2002

396 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f4ccca08d118a34fc6cc5b282e767ea09d29610a

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

In Finance

Citations in the corpus

Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan (2005, background): “( Lee and Rui, 2002, see also footnote 1). Thus, it is of great interest to investigate whether the”
Revisiting the empirical linkages between stock returns and trading volume (2012, methodology): “Statman et al. (2006) use monthly data from the NYSE/AMEX from 1962 to 2001, and provide evidence that trading activity is positively related to lagged returns for many months.”
Economic variables and stock market returns: evidence from the Athens stock exchange (2006, methodology): “…between stock prices and trading volume using Granger causality tests (see, Campbell et al., 1993; Hiemstra and Jones, 1994; Martikainen et al., 1994; Basci et al., 1996; Saatcioglu and Starks, 1998; Silvapulle and Choi, 1999; Ratner and Leal, 2001; Lee and Rui, 2002; Mestel et al., 2003).”
Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, neutral): “Japanese and German markets are more frequent when the latter markets are in a crisis, or an extreme volatility regime, while Liu [2014] found that extreme downside movements of the S&P 500 and Nikkei 225 are significantly predictive for the likelihood of extreme downside movements in all the invest”
Causality in quantiles and dynamic stock return–volume relations (2009, methodology): “Following Gallant, Rossi, and Tauchen (1992), we consider log volume series and remove their trends by regressing ln vt on a constant, t/T and (t/T )2; see also Chen, Firth, Rui (2000) and Lee and Rui (2002).”