Trading volume, realized volatility and jumps in the Australian stock market
Tài liệu tham khảo
Admati, 1988, A theory of intraday patterns: volume and price variability, Review of Financial Studies, 1, 3, 10.1093/rfs/1.1.3
Australian Security Exchange, 2010
Andersen, 1996, Return volatility and trading volume: an information flow interpretation of stochastic volatility, Journal of Finance, 51, 169, 10.1111/j.1540-6261.1996.tb05206.x
Barber, 2000, Trading is hazardous to your wealth: the common stock investment performance of individual investors, Journal of Finance, 55, 773, 10.1111/0022-1082.00226
Barber, 2009, Do retail traders move markets?, Review of Financial Studies, 22, 151, 10.1093/rfs/hhn035
Barber, 2009, Just how much do individual investors lose by trading?, Review of Financial Studies, 22, 600, 10.1093/rfs/hhn046
Barndorff-Nielsen, 2004, Power and bipower variation with stochastic volatility and jumps, Journal of Financial Econometrics, 2, 1, 10.1093/jjfinec/nbh001
Black, 1986, Noise, Journal of Finance, 51, 529, 10.1111/j.1540-6261.1986.tb04513.x
Campbell, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics, 108, 905, 10.2307/2118454
Campbell, 1993, Smart money, noise trading and stock price behavior, Review of Economic Studies, 60, 1, 10.2307/2297810
Chakravaraty, 2001, Stealth trading: which traders’ trade move stock price?, Journal of Financial Economics, 61, 289, 10.1016/S0304-405X(01)00063-0
Chan, 2000, Trade size, order imbalance, and the volatility–volume relation, Journal of Financial Economics, 57, 247, 10.1016/S0304-405X(00)00057-X
Chan, 2006, Realized volatility and transactions, Journal of Banking & Finance, 30, 2063, 10.1016/j.jbankfin.2005.05.021
Chordia, 2011, Recent trends in trading activity and market quality, Journal of Financial Economics, 101, 243, 10.1016/j.jfineco.2011.03.008
Clark, 1973, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135, 10.2307/1913889
D’Aloisio, 2005, ASX: an important part of Australia's capital markets
Daigler, 1999, The impact of trader type on the volume–volatility relation, Journal of Finance, 54, 2297, 10.1111/0022-1082.00189
De Long, 1990, Noise trader risk in financial markets, Journal of Political Economy, 98, 703, 10.1086/261703
Epps, 1976, The stochastic dependence of security price changes and transaction volumes: implications for the Mixture-of-Distributions hypothesis, Econometrica, 44, 305, 10.2307/1912726
Eraker, 2003, The impact of jumps in volatility and returns, Journal of Finance, 58, 1269, 10.1111/1540-6261.00566
Fleming, 2003, The economic value of volatility timing using “realized” volatility, Journal of Financial Economics, 67, 473, 10.1016/S0304-405X(02)00259-3
Foster, 1990, A theory of interday variations in volume, variance, and trading costs in securities markets, Review of Financial Studies, 3, 593, 10.1093/rfs/3.4.593
Gabaix, 2006, Institutional investors and stock market volatility, Quarterly Journal of Economics, 121, 461, 10.1162/qjec.2006.121.2.461
Giot, 2010, Trading activity, realized volatility and jumps, Journal of Empirical Finance, 17, 168, 10.1016/j.jempfin.2009.07.001
Glosten, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71, 10.1016/0304-405X(85)90044-3
Gopinath, 2001, Number of transactions and volatility: an empirical study using high-frequency data from Nasdaq stocks, Journal of Financial Research, 24, 205, 10.1111/j.1475-6803.2001.tb00765.x
Griffin, 2003, The dynamics of institutional and individual trading, Journal of Finance, 58, 2285, 10.1046/j.1540-6261.2003.00606.x
Harris, 1986, Cross-security tests of the Mixture of Distribution Hypothesis, Journal of Financial and Quantitative Analysis, 21, 39, 10.2307/2330989
Hellwig, 1980, On the aggregation of information in competitive markets, Journal of Economic Theory, 22, 477, 10.1016/0022-0531(80)90056-3
Hvidkjaer, 2008, Small trades and the cross-section of stock returns, Review of Financial Studies, 21, 1123, 10.1093/rfs/hhn049
Jackson, 2003
Jain, 2005, Financial market design and equity premium: electronic versus floor trading, Journal of Finance, 60, 2955, 10.1111/j.1540-6261.2005.00822.x
Jones, 1994, Transactions, volume, and volatility, Review of Financial Studies, 7, 631, 10.1093/rfs/7.4.631
Karpoff, 1987, The relation between price changes and trading volume: a survey, Journal of Financial and Quantitative Analysis, 22, 109, 10.2307/2330874
Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210
Linnainmaa, 2012, Lack of anonymity and the interference from order flow, Review of Financial Studies, 25, 1414, 10.1093/rfs/hhs002
Luu, 2003, Testing the mixture-of-distributions hypothesis using “realized” volatility, The Journal of Futures Markets, 7, 661, 10.1002/fut.10077
Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610
Odean, 1999, Do investors trade too much?, American Economic Review, 89, 1279, 10.1257/aer.89.5.1279
Roll, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance, 39, 1127, 10.1111/j.1540-6261.1984.tb03897.x
Schwert, 1989, Why does stock market volatility change over time?, Journal of Finance, 44, 1115, 10.1111/j.1540-6261.1989.tb02647.x
Shalen, 1993, Volume, volatility and the dispersion of belief, Review of Financial Studies, 6, 405, 10.1093/rfs/6.2.405
Tauchen, 1983, The price variability–volume relationship in speculative markets, Econometrica, 51, 485, 10.2307/1912002
Wang, 1994, A model of competitive stock trading volume, Journal of Political Economy, 102, 127, 10.1086/261924
