Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets

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

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

The Relation Between Price Changes and Trading Volume: A Survey

Jonathan M. Karpoff · Journal of Financial and Quantitative Analysis · 1987 · 2.5K citations

Business, Economics, Finance +9

Stock returns and the weekend effect

Kenneth R. French · Journal of Financial Economics · 1980 · 2K citations

Business, Economics, Finance +14

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

T. W. Epps, Mary Lee Epps · Econometrica · 1976 · 951 citations

Business, Economics, Finance +12

The Dependence between Hourly Prices and Trading Volume

Prem C. Jain, Gun-Ho Joh · Journal of Financial and Quantitative Analysis · 1988 · 698 citations

Business, Economics, Finance +11