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Time reversibility tests of volume-volatility dynamics for stock returns

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  • Fong, Wai Mun

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  • Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October.
    • Handle: RePEc:eee:ecolet:v:81:y:2003:i:1:p:39-45
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    References listed on IDEAS

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    1. Tauchen, George & Zhang, Harold & Liu, Ming, 1996. "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
    2. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
    3. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
    4. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
    5. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
    6. Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam, 1997. "Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 51-59, January.
    7. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, vol. 2(1), pages 72-88, March.
    8. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
    9. Andersen, Torben G, 1996. "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
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    Cited by:

    1. Wang, Yuanyuan & Shang, Pengjian, 2018. "A new measurement of financial time irreversibility based on information measures method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 221-230.
    2. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
    3. Wu, Zhenyu & Shang, Pengjian & Xiong, Hui, 2018. "An improvement of the measurement of time series irreversibility with visibility graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 370-378.
    4. Massimo Caruso, 2006. "Stock market fluctuations and money demand in Italy, 1913-2003," Temi di discussione (Economic working papers) 576, Bank of Italy, Economic Research and International Relations Area.
    5. McCausland, William J., 2007. "Time reversibility of stationary regular finite-state Markov chains," Journal of Econometrics, Elsevier, vol. 136(1), pages 303-318, January.
    6. Fernandez, Viviana, 2009. "The behavior of stock returns in the mining industry following the Iraq war," Research in International Business and Finance, Elsevier, vol. 23(3), pages 274-292, September.
    7. Bastianin, Andrea & Manera, Matteo, 2021. "A test of symmetry based on L-moments with an application to the business cycles of the G7 economies," Economics Letters, Elsevier, vol. 198(C).
    8. Niklas Wagner & Terry Marsh, 2005. "Surprise volume and heteroskedasticity in equity market returns," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 153-168.
    9. Gilles Zumbach, 2007. "Time reversal invariance in finance," Papers 0708.4022, arXiv.org.
    10. Jessica Morales Herrera & Ra'ul Salgado-Garc'ia, 2023. "Trend patterns statistics for assessing irreversibility in cryptocurrencies: time-asymmetry versus inefficiency," Papers 2307.08612, arXiv.org.

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