| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5090766 | Journal of Banking & Finance | 2008 | 14 Pages |
Abstract
We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Elaine Hutson, Colm Kearney, Margaret Lynch,