Transactions, Volume, and Volatility
Data up to Jan 2025
Total Citations Per Year
Abstract
References (39)
Continuous Auctions and Insider Trading
1985 • 9,651 citations
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
1962 • 7,696 citations
Why Does Stock Market Volatility Change Over Time?
1989 • 3,555 citations
A Theory of Intraday Patterns: Volume and Price Variability
1988 • 3,251 citations
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
1973 • 2,868 citations
The Information Content of Annual Earnings Announcements
1968 • 2,768 citations
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
1984 • 2,564 citations
The Relation Between Price Changes and Trading Volume: A Survey
1987 • 2,469 citations
Stock returns and the weekend effect
1980 • 1,965 citations
Differences of Opinion Make a Horse Race
1993 • 1,618 citations
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
1962 • 1,514 citations
The Price Variability-Volume Relationship on Speculative Markets
1983 • 1,501 citations
Stock Prices and Volume
1992 • 1,388 citations
Alternative models for conditional stock volatility
1990 • 1,337 citations
Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
1990 • 1,080 citations
Stock Volatility and the Crash of ’87
1990 • 1,003 citations
Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
1989 • 996 citations
Why Does Stock Market Volatility Change Over Time?
1989 • 848 citations
A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets
1990 • 818 citations
A Further Investigation of the Weekend Effect in Stock Returns
1984 • 788 citations
Long‐Lived Private Information and Imperfect Competition
1992 • 781 citations
Market reaction to anticipated announcements
1991 • 643 citations
A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
1984 • 615 citations
Large-block transactions, the speed of response, and temporary and permanent stock-price effects
1990 • 468 citations
Trade and the Revelation of Information through Prices and Direct Disclosure
1989 • 448 citations
The Information Content of Annual Earnings Releases: A Trading Volume Approach
1986 • 381 citations
Transaction Data Tests of the Mixture of Distributions Hypothesis
1987 • 335 citations
Trading patterns, bid-ask spreads, and estimated security returns
1989 • 309 citations
Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
1989 • 287 citations
Differences of Opinion in Financial Markets
1989 • 283 citations
Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination
1981 • 280 citations
Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
1990 • 252 citations
Price reversals
1990 • 220 citations
A Further Investigation of the Weekend Effect in Stock Returns
1984 • 215 citations
A test of dividend irrelevance using volume reactions to a change in dividend policy
1986 • 211 citations
Long-Lived Private Information and Imperfect Competition
1992 • 189 citations
Response of Hourly Stock Prices and Trading Volume to Economic News
1988 • 182 citations
Block Trading and Information Revelation around Quarterly Earnings Announcements
1992 • 85 citations
Differences of Opinion and the Volume of Trade
1985 • 16 citations