Publication Type

Journal Article

Version

publishedVersion

Publication Date

12-1993

Abstract

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-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using a larger sample.

Keywords

Stocks prices, Investment banking, Correlation in Statistics, Analysis of variance, Least squares, Heteroscedasticity

Discipline

Asian Studies | Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Quantitative Finance

Publication

Applied Financial Economics

Volume

3

Issue

4

First Page

339

Last Page

348

ISSN

0960-3107

Identifier

10.1080/758534947

Publisher

Taylor and Francis

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1080/758534947

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