[PDF] Trading Volume and Serial Correlation in Stock Returns - MIT
We therefore focus on daily trading volume and the serial correlation of daily returns on stock indexes and individual stocks Daily index autocorrelations are predomi- nantly positive [Conrad and Kaul, 1988; Lo and MacKinlay, 19881, but our theory predicts that they will be less positive on high- volume days
Trading Volume - Pakistan Institute of Development Economics
Trading Volume and Serial Correlation in Stock Returns in Pakistan Khalid Mustafa Assistant Professor Department of Economics, University of Karachi e- mail:
[PDF] Correlation of Returns in Stock Market Prices: - DiVA
Key words: Efficient Market Hypothesis, Random Walk, Correlation of Returns the random walk is to check serial correlations (Borges M , 2008, p 4) Assuming rationality some areas such as volume, volatility, dividends and predictability
[PDF] International transmission and volume effects in G5 stock market
analysis of possible correlations between returns, volatility and trading volume They have shown for stock market return and trading volume the null hypothesis of no serial correlation is rejected for the FTSE 100 and the Nikkei, but not for
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