THE INTERRELATION OF STOCK AND OPTIONS MARKET TRADING-VOLUME DATA

被引:81
作者
ANTHONY, JH
机构
关键词
D O I
10.2307/2328145
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:949 / 964
页数:16
相关论文
共 26 条
[1]   AN INTEGRATED VIEW OF TESTS OF RATIONALITY, MARKET-EFFICIENCY AND THE SHORT-RUN NEUTRALITY OF MONETARY-POLICY [J].
ABEL, AB ;
MISHKIN, FS .
JOURNAL OF MONETARY ECONOMICS, 1983, 11 (01) :3-24
[2]  
Black F., 1975, FINANCIAL ANAL J, V31, P61
[3]  
Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36
[4]  
Box G. E. P., 1976, TIME SERIES ANAL FOR
[5]   MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J].
COPELAND, TE .
JOURNAL OF FINANCE, 1976, 31 (04) :1149-1168
[6]   MULTIVARIATE TESTS OF FINANCIAL MODELS - A NEW APPROACH [J].
GIBBONS, MR .
JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (01) :3-27
[7]  
Granger C. W. J., 1986, FORECASTING EC TIME, V2nd
[8]   INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS [J].
GRANGER, CWJ .
ECONOMETRICA, 1969, 37 (03) :424-438
[9]  
GRAY HL, 1978, COMMUN STAT B-SIMUL, V7, P1, DOI 10.1080/03610917808812057
[10]   CHECKING INDEPENDENCE OF 2 COVARIANCE-STATIONARY TIME-SERIES - UNIVARIATE RESIDUAL CROSS-CORRELATION APPROACH [J].
HAUGH, LD .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1976, 71 (354) :378-385