IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v14y1990i1p99-112.html
   My bibliography  Save this article

A transactions data analysis of the variability of common stock returns during 1980-1984

Author

Listed:
  • H. McInish, Thomas
  • Wood, Robert A.

Abstract

No abstract is available for this item.

Suggested Citation

  • H. McInish, Thomas & Wood, Robert A., 1990. "A transactions data analysis of the variability of common stock returns during 1980-1984," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 99-112, March.
    • Handle: RePEc:eee:jbfina:v:14:y:1990:i:1:p:99-112
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378-4266(90)90038-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    2. Chelley-Steeley, Patricia & Park, Keebong, 2011. "Intraday patterns in London listed Exchange Traded Funds," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 244-251.
    3. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
    4. Iwatsubo, Kentaro & Watkins, Clinton & Xu, Tao, 2018. "Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 59-71.
    5. Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.
    6. Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004. "Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 647-676, June.
    7. Jiang, Christine X. & Likitapiwat, Tanakorn & McInish, Thomas H., 2012. "Information Content of Earnings Announcements: Evidence from After-Hours Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1303-1330, December.
    8. Chan, Yue-cheong & Chui, Andy C. W. & Kwok, Chuck C. Y., 2001. "The impact of salient political and economic news on the trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 9(3), pages 195-217, June.
    9. Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
    10. Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2020. "Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?," Finance Research Letters, Elsevier, vol. 34(C).
    11. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
    12. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    13. Balashov, Vadim S. & Nikiforov, Andrei, 2019. "How much do investors trade because of name/ticker confusion?," Journal of Financial Markets, Elsevier, vol. 46(C).
    14. Aravind Sampath & Arun Kumar Gopalaswamy, 2020. "Intraday Variability and Trading Volume: Evidence from National Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(3), pages 271-295, December.
    15. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    16. Michael Aitken & Amaryllis Kua & Philip Brown & Terry Watter & H. Y. Izan, 1995. "An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price," Australian Journal of Management, Australian School of Business, vol. 20(2), pages 115-154, December.
    17. Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996. "Information, trading and stock returns: Lessons from dually-listed securities," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1161-1187, August.
    18. Xu, Yanyan & Huang, Dengshi & Ma, Feng & Qiao, Gaoxiu, 2019. "The heterogeneous impact of liquidity on volatility in Chinese stock index futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 73-85.
    19. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
    20. Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.
    21. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    22. Matteo Rossi & Gabriella Marcarelli & Antonella Ferraro & Antonio Lucadamo, 2020. "How do Calendar Anomalies Affect an Investment Choice? A Proposal of an Analytic Hierarchy Process Model," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 244-249.
    23. Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak, 2016. "Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(59), pages 73-94, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:14:y:1990:i:1:p:99-112. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.