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Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation

✍ Scribed by Craig Hiemstra and Jonathan D. Jones

Book ID
111982018
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
522 KB
Volume
49
Category
Article
ISSN
0022-1082

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πŸ“œ SIMILAR VOLUMES

An examination of linear and nonlinear c
An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets
✍ Fujihara, Roger A.; MougouοΏ½, Mbodja πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 277 KB πŸ‘ 2 views

article examines the relationship between returns and trading volume for three petroleum futures contracts. Using daily data on futures prices and trading volume, the study first tests for linear causality between returns and volume. The results of this linear causality test show that futures return