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Price–volume cross-correlation analysis of CSI300 index futures

  • Published:2013-03 Issue:5 Volume:392 Page:1172-1179
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Wang Dong-Hua,Suo Yuan-Yuan,Yu Xiao-Wen,Lei Man

Funder

National Science Foundation of China

Humanities and Social Sciences Fund

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference59 articles.

1. Stock prices and volume;Gallant;Rev. Financ. Stud.,1992

2. Trading volume and serial correlation in stock returns;Campbell;Quart. J. Econ.,1993

3. Testing for linear and nonlinear Granger causality in the stock price–volume relation;Hiemstra;J. Financ.,1994

4. The stochastic dependence of security price changes and transaction volumes: implications for the mixture-of-distributions hypothesis;Epps;Econometrica,1976

5. The price variability-volume relationship on speculative markets;Tauchen;Econometrica,1983

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