Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 张伟华博士 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/0927-538X(93)90009-7 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/7Scopus source URL
其它资讯
摘要Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger. ? 1993.
着者Ho R.Y.-K., Cheung Y.-L., Cheung D.W.W.
期刊名称Pacific-Basin Finance Journal
出版年份1993
月份1
日期1
卷号1
期次2
出版社Elsevier BV
出版地Netherlands
页次203 - 214
国际标準期刊号092http://aims.cuhk.edu.hk/converis/portal/Publication/7-538X
电子国际标準期刊号18http://aims.cuhk.edu.hk/converis/portal/Publication/79-0585
语言英式英语
关键词Asian market, Causality, Hong Kong, Intraday, Stock prices, Trading volume
