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Stock Prices and Volume (1990)
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| Citations: | 188 - 12 self |
BibTeX
@MISC{Gallant90stockprices,
author = {A. Ronald Gallant and Peter E. Rossi and George Tauchen},
title = {Stock Prices and Volume },
year = {1990}
}
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Abstract
We undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. We adjust the data to take into account well-known calendar effects and long-run trends. To describt tbe process, we use a seminonparametric estimate of the joint density of current price change and volume conditional on past price changes and volume. Four empirical regularities are found: 1) positive correlation between conditional volatility and volume, 2) large price movements are followed by high volume, 3) conditioning on lagged volume substantially attenuates the "leverage " effect, and 4) after conditioning on lagged volume, there is a positive risk/return relation.
Keyphrases
stock price lagged volume account well-known calendar effect conditional volatility current price change tbe process volume conditional comprehensive investigation large price movement past price change positive correlation empirical regularity seminonparametric estimate positive risk return relation long-run trend joint density leverage effect high volume
