An empirical analysis of the stock price-volume relationship

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

Applied Nonparametric Statistics

1991 • 5,126 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Nonparametric Statistics

1957 • 1,114 citations

Brownian Motion in the Stock Market

1959 • 967 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

Theoretical Statistics

1975 • 723 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

A Model of Asset Trading Under the Assumption of Sequential Information Arrival

1976 • 530 citations

The intraday speed of adjustment of stock prices to earnings and dividend announcements

1984 • 450 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES

1963 • 391 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Causality and econometrics

1979 • 324 citations

Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System

1982 • 253 citations

Security Price Changes and Transaction Volumes: Theory and Evidence

1975 • 184 citations

The Dependence of Prices and Volume

1978 • 182 citations

The Volume of Transactions and Price Changes on the New York Stock Exchange

1970 • 155 citations

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

1977 • 154 citations

The relationship between volume and price variability in futures markets

2000 • 145 citations

The relationship between volume and price variability in futures markets

1981 • 130 citations

Information Content and the Speed of Stock Price Adjustment

1985 • 94 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 80 citations

Market Making and Reversal on the Stock Exchange

1966 • 74 citations

An Examination of the Empirical Relationship between the Dividend and Investment Decisions: A Note

1983 • 50 citations

Money, Income, and Causality in the United Kingdom: An Empirical Reexamination

1981 • 40 citations

Common-Stock Transaction Sequences and the Random-Walk Model

1971 • 10 citations

An Examination of the Empirical Relationship between the Dividend and Investment Decisions: A Note

1983 • 8 citations