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The Dependence between Hourly Prices and Trading Volume
Prem C. Jain and Gun-Ho Joh
The Journal of Financial and Quantitative Analysis
Vol. 23, No. 3 (Sep., 1988), pp. 269-283
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2331067
Page Count: 15
You can always find the topics here!Topics: Standard deviation, Stock exchanges, Autocorrelation, Common stock, Prices, Quantitative analysis, Stock market indices, Causality, Coefficients, Financial economics
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This study provides evidence on joint characteristics of hourly common stock trading volume and returns on the New York Stock Exchange. Average volume traded shows significant differences across trading hours of the day and across days of the week. Average returns differ across hours of the day, and, to some extent, across days of the week. There is a strong contemporaneous relation between trading volume and returns and also a relation between trading volume and returns lagged up to four hours. Furthermore, the trading volume-returns relation is steeper for positive returns than for nonpositive returns.
The Journal of Financial and Quantitative Analysis © 1988 University of Washington School of Business Administration