Volume and skewness in international equity markets

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dc.contributor.author Hutson, Elaine
dc.contributor.author Kearney, Colm
dc.contributor.author Lynch, Margaret
dc.date.accessioned 2010-05-20T16:00:13Z
dc.date.available 2010-05-20T16:00:13Z
dc.date.copyright 2007 Elsevier B.V. en
dc.date.issued 2008
dc.identifier.citation Journal of Banking & Finance en
dc.identifier.issn 0378-4266
dc.identifier.uri http://hdl.handle.net/10197/2001
dc.description.abstract We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries. en
dc.description.sponsorship Not applicable en
dc.description.externalNotes Previous versions of this paper were presented at the 2004 Southern Finance Association conference in Naples, Florida, and the 2005 meeting of the Society for Nonlinear Dynamics and Econometrics in London. en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Elsevier en
dc.subject Stock markets en
dc.subject Skewness en
dc.subject Volume and volatility en
dc.subject VAR en
dc.subject.lcsh Stock exchanges--Econometric models en
dc.subject.lcsh Stocks--Prices en
dc.title Volume and skewness in international equity markets en
dc.type Journal Article en
dc.internal.availability Full text not available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1016/j.jbankfin.2007.10.011 en
dc.status Peer reviewed en
dc.identifier.volume 32 en
dc.identifier.issue 7 en
dc.identifier.startpage 1255 en
dc.identifier.endpage 1268 en
dc.identifier.doi 10.1016/j.jbankfin.2007.10.011
dc.neeo.contributor Hutson|Elaine|aut|UCD0044 en
dc.neeo.contributor Kearney|Colm|aut| en
dc.neeo.contributor Lynch|Margaret|aut| en

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