Measuring abnormal daily trading volume for samples of NYSE/ASE and NASDAQ securities using parametric and nonparametric test statistics
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
http://link.springer.com/content/pdf/10.1007/BF00245187.pdf
Reference15 articles.
1. Ajinkya, B.P. and P.C.Jain, ?The Behavior of Daily Stock Market Trading Volume.? Journal of Accounting and Economics 11, 331?360, (1989).
2. Brown, S. and J.Warner, ?Using Daily Stock Returns: The Case of Event Studies.? Journal of Financial Economics 14, 3?31, (1985).
3. Campbell, C.J. and C.E.Wasley, ?Measuring Security Price Performance Using Daily NASDAQ Returns.? Journal of Financial Economics 33, 73?92, (1993).
4. Corrado, C.J., ?A Nonparametric Test for Abnormal Security-Price Performance in Event Studies.? Journal of Financial Economics 23, 385?395, (1989).
5. Cready, W.M. and R.Ramanan, ?The Power of Tests Employing Log-Transformed Trading Volume in Detecting Abnormal Trading.? Journal of Accounting and Economics 14, 203?215, (1991).
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