Information, trading, and volatility
- 1 August 1994
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 36 (1) , 127-154
- https://doi.org/10.1016/0304-405x(94)90032-9
Abstract
No abstract availableKeywords
This publication has 34 references indexed in Scilit:
- The Effect of Public Information and Competition on Trading Volume and Price VolatilityThe Review of Financial Studies, 1993
- Corporate disclosure and price discovery associated with NYSE temporary trading halts*Contemporary Accounting Research, 1992
- Price reversalsJournal of Financial Economics, 1990
- A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities MarketsThe Review of Financial Studies, 1990
- Trading patterns, bid-ask spreads, and estimated security returnsJournal of Financial Economics, 1989
- Components of the Bid-Ask Spread and the Statistical Properties of Transaction PricesThe Journal of Finance, 1987
- Stock return variancesJournal of Financial Economics, 1986
- Bootstrap Methods for Standard Errors, Confidence Intervals, and Other Measures of Statistical AccuracyStatistical Science, 1986
- Biases in computed returnsJournal of Financial Economics, 1983
- A Theory of Common Stock Returns Over Trading and Non-Trading PeriodsThe Journal of Finance, 1980