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• W2015213301 abstract "In accordance with studies for other markets, Swedish index returns exhibit high autocorrelation, (a) after days of above average performance of the stock market, (b) after low absolute returns, (c) when trading volume is low, and (d) following Fridays. Contrary to the non-synchronous trading and the transaction cost hypotheses, all results extend to individual stock returns. It is concluded that autocorrelation patterns are related to the trading patterns of individual investors, and not the cross-security information processing of the market. In particular, the observed autocorrelation structure corresponds to feedback trading." @default.
• W2015213301 created "2016-06-24" @default.
• W2015213301 creator A5040306658 @default.
• W2015213301 date "2000-08-01" @default.
• W2015213301 modified "2023-09-23" @default.
• W2015213301 title "Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange" @default.
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• W2015213301 doi "https://doi.org/10.1016/s0378-4266(99)00071-0" @default.
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