International evidence on the relationship between trading volume and serial correlation in stock returns

Jory, S.R. and Ngo, T.N. 2008. International evidence on the relationship between trading volume and serial correlation in stock returns. Global Journal of Finance and Banking Issues. 2 (2), pp. 1-13.

TitleInternational evidence on the relationship between trading volume and serial correlation in stock returns
AuthorsJory, S.R. and Ngo, T.N.
Abstract

This paper examines the relationship between trading volume and stock return autocorrelation in different international stock markets. The results show that the relationship is asymmetric among markets and is stronger in those less developed. The relationship is stronger in markets where informed trading based on private information is possible.

JournalGlobal Journal of Finance and Banking Issues
Journal citation2 (2), pp. 1-13
ISSN1933-3439
YearJul 2008
PublisherGlobal Business Investments and Publications LLC
Web address (URL)http://globip.com/pdf_pages/globalfinance-vol2-article1.pdf
Publication dates
PublishedJul 2008

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