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Trade size, order imbalance, and the volatility-volume relation

Chan, Kalok; Fong, Wai-ming - In: Journal of financial economics 57 (2000) 2, pp. 247-273

Persistent link: https://www.econbiz.de/10001494741

Investor Participation and the Volatility-Volume Relation : Evidence from an Emerging Market

Bian, Jiangze - 2019

Using a unique dataset from the Chinese stock market that keeps track of daily number of shareholders, we find that ownership breadth (proxied by number of shareholders) is negatively related to stock price volatility. However, consistent with the previous literature on volatility-volume...

Persistent link: https://www.econbiz.de/10012897116

Investor participation and the volatility-volume relation : evidence from an emerging market

Bian, Jiangze; Chan, Kalok; Fong, Wai-ming - In: Emerging markets review 45 (2020)

Persistent link: https://www.econbiz.de/10012503237

Exchange rate fluctuations, political risk, and stock returns : some evidence from an emerging market

Bailey, Warren - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 541-561

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The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach

Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31

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Asymmetric correlation as an explanation for the effect of asset skewness on equity returns

Chung, Y. Peter; Kim, Thomas S. - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 686-699

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Extreme returns and herding of trade imbalances

Chung, Y. Peter; Kim, S. Thomas - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2379-2399

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The variation in variance risk premium and its predictive power : evidence from option market sentiments

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Overnight information and intraday trading behavior : evidence from NYSE cross-listed stocks and their local market information

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An empirical examination of information, differences of opinion, and trading activity

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Persistent link: https://www.econbiz.de/10001192319