Concepedia

The linear and non-linear dependence of stock returns and trading volume in the Finnish stock market

Teppo Martikainen, Vesa Puttonen, Martti Luoma, Timo Rothovius

Applied Financial Economics · 1994 · 25 citations · 33 references

Concepts

BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsFinancial MarketsAsset Return ModelingCapital MarketsMarket MicrostructureRisk-return AnalysisStock MarketsVolatility ModelingDependence In Asset ReturnsFinancial Market VolatilityStock Market ReturnsTemporal Return DynamicsTrading Volume Reaction

Abstract

This paper investigates the dynamic linkages between stock returns and trading volume in a small stock market, i.e. the Helsinki Stock Exchange in Finland during the period 1977–88. Both linear and...

References

33

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

Social Sciences, Economics, Causal Inference +8

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15