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- W3122275761 abstract "We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries." @default.
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- W3122275761 date "2008-07-01" @default.
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- W3122275761 title "Volume and skewness in international equity markets" @default.
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- W3122275761 doi "https://doi.org/10.1016/j.jbankfin.2007.10.011" @default.
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