HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES

Previous research identifies a causal relationship between returns and trading volume. But volume has two components: number of trades and number of shares per trade. In this paper the relationship between each of these volume components and returns is examined and the number of trades is found to b...

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Veröffentlicht in:	The Journal of financial research 1991-12, Vol.14 (4), p.303-315
Hauptverfasser:	McInish, Thomas H., Wood, Robert A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Implications Mathematical models Regression analysis Securities markets Securities trading Volatility
Online-Zugang:	Volltext
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