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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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