Share-price-changes-volume relation on the Singapore equity market

• Main Authors: LEE, David K. C., ARIFF, Mohamed
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1993
• 主題: Stocks prices; Investment banking; Correlation in Statistics; Analysis of variance; Least squares; Heteroscedasticity; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3366; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4365/viewcontent/SharePriceChangesVolSingaporeEquityMkt_1993.pdf

A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-...