Stock market trading volume. In: Ait-Sahalia, Y., Hansen, L.P. (Eds.), Handbook of Financial Econometrics, Volume 2: Applications. North-Holland, Amsterdam.Lo, A. W., and J. Wang (2010): "Stock Market Trading Volume," in The Handbook of Financial Econometrics, Y. Ait-Sahalia and ...
摘要: If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior o关键词: Trading Volume Asset Pricing Portfolio Theory Mean-Variance Optimization ...
Trading volume is an important aspect of the economic interactions in financial markets among various investors. Both volume and prices are driven by underlying economic forces, and thus convey important information about the workings of the market. This chapter focuses on the empirical characteristics ...
Technical analysis and stock charts for S&P 500, Nasdaq 100 indexes. Volume, advance/decline trading system and market timing
In the context of the application described in the previous section, vector 𝑦𝑡yt in the models for each market includes the RVs of market index, trading volumes, Stock Connect Northbound and Southbound turnovers as Table 2. For abbreviation, we represent a general form for 𝑦𝑡yt in ...
Those in the stock market include institutional investors, such as pension funds, mutual funds, insurance companies, and hedge funds, that manage large amounts of money and often have a significant influence over the market since they are trading in large volumes. Retail investors buy and sell ...
ANNALS OF ECONOMICS AND FINANCE 13-1, 211–236 (2012) The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective We use heterogeneous autoregressive (HAR) model with high-frequency data of Hu-Shen 300 index to investigate the volatility...
This paper examines the relation between trading volume and stock return in China's stock market through lens of the momentum life cycle theory. Using the daily Chinese stock market data for the periods from 1990 to 2007, we found that the explanatory power of the momentum life cycle theory ...
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Now, we have thousands stocks traded on the market and many stocks are traded on huge volumes. Now, intraday trading creates new demands for analysis. In many cases, what was ok a hundred years ago for analysis of daily data may simply be not enough for nowadays intraday trading in real ...