Price-Volume Relation in Stocks: A Multiple Time Series Analysis on the Singapore Market
The price-volume relation in stocks is examined using the multiple time series approach due to Tiao and Box (1981). This approach has the advantage of treating price and volume jointly and symmetrically (without enforcing the roles of input and output). It is free of the simultaneity bias in regress...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1993
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/212 |
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| Institution: | Singapore Management University |
| Language: | English |