search query: @author Kamara, A. / total: 5
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| Author: | Kamara, A. Lynch Koski, J. |
| Title: | Volatility, autocorrelations, and trading activity after stock splits |
| Journal: | Journal of Financial Markets
2001 : APR, VOL. 4:2, p. 163-184 |
| Index terms: | AUTOCORRELATION LIQUIDITY STOCK SPLITS VOLATILITY |
| Language: | eng |
| Abstract: | The authors examine the relation between trading activity, return volatility, and autocorrelations around stock splits. Prior research shows substantial increases in volatility and number of small trades after splits. The authors show that these two effects are significantly positively related, and find evidence of bi-directional Granger causality. They also show that first-order serial autocorrelations decline significantly after splits. |
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