| Tekijä: | McGullough, B. |
| Otsikko: | An analysis of stock market transactions data |
| Lehti: | Quarterly Review of Economics and Finance
1997 : VOL. 37:4, p. 887-904 |
| Asiasana: | ECONOMICS STOCK MARKETS TRANSACTION COSTS |
| Kieli: | eng |
| Tiivistelmä: | Many studies have argued against the strict form of the efficient market hypothesis (EMH) by concluding that a lagged relationship exists between volume and the absolute value of a price change. These studies have denied a priori the possibility of a contemporaneous relationship. If a simultaneous relationship exists than least squares with only lagged variables suffers from omitted variable bias, and least squares with contemporaneous variables may suffer from simultaneous equations bias. |
SCIMA