Linear and nonlinear Granger causality tests are used to examine the dynamic relation between daily Dow Jones stock returns and percentage changes in New York Stock Exchange trading volume. The authors find evidence of significant bidirectional nonlinear causality between returns and volume. They also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by P. Clark's (1973) latent common-factor model. After controlling for volatility persistence in returns, the authors continue to find evidence of nonlinear causality from volume to returns. Copyright 1994 by American Finance Association.
We employ bivariate and multivariate nonlinear causality tests to document causality from equity re...
TThis study investigates long-term linear and nonlinear causal linkages among eleven stock markets, ...
This paper explores the linear and non-linear causal relationship between stock price and trading vo...
In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relatio...
Extant literature on price-volume relation of stock markets relies mainly on standard linear Granger...
In the empirical literature, it has been shown that there exists both linear and non-linear bi-direc...
In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, includ...
In this paper we introduce a new nonparametric test for Granger non-causality which avoids the over-...
Multivariate Causality Tests with Simulation and Application Abstract The traditional linear Granger...
errors are ours. This paper investigates the causal relations between stock return and volume based ...
The paper considers the Granger causality tests based on the hetersokedasticity-consistent covarianc...
The paper considers the Granger causality tests based on the hetersokedasticity-consistent covarianc...
Linear and nonlinear Granger causality in the stock price-volume relation: A perspective on the agen...
Linear and nonlinear Granger causality in the stock price-volume relation: A perspective on the agen...
We employ bivariate and multivariate nonlinear causality tests to document causality from equity ret...
We employ bivariate and multivariate nonlinear causality tests to document causality from equity re...
TThis study investigates long-term linear and nonlinear causal linkages among eleven stock markets, ...
This paper explores the linear and non-linear causal relationship between stock price and trading vo...
In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relatio...
Extant literature on price-volume relation of stock markets relies mainly on standard linear Granger...
In the empirical literature, it has been shown that there exists both linear and non-linear bi-direc...
In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, includ...
In this paper we introduce a new nonparametric test for Granger non-causality which avoids the over-...
Multivariate Causality Tests with Simulation and Application Abstract The traditional linear Granger...
errors are ours. This paper investigates the causal relations between stock return and volume based ...
The paper considers the Granger causality tests based on the hetersokedasticity-consistent covarianc...
The paper considers the Granger causality tests based on the hetersokedasticity-consistent covarianc...
Linear and nonlinear Granger causality in the stock price-volume relation: A perspective on the agen...
Linear and nonlinear Granger causality in the stock price-volume relation: A perspective on the agen...
We employ bivariate and multivariate nonlinear causality tests to document causality from equity ret...
We employ bivariate and multivariate nonlinear causality tests to document causality from equity re...
TThis study investigates long-term linear and nonlinear causal linkages among eleven stock markets, ...
This paper explores the linear and non-linear causal relationship between stock price and trading vo...