131
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Using volume to forecast stock market volatility around the time of the 1929 crash

, &
Pages 1123-1128 | Published online: 24 Sep 2007

References

  • Anderson , BM . 1949 . Economics and the Public Welfare , New York : D. Van Nostrand Company, Inc. .
  • Bohl , M and Henke , H . 2003 . Trading volume and stock market volatility: the polish case . International Review of Financial Analysis , 12 : 513 – 25 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Bollerslev , T and Wooldridge , J . 1992 . Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances . Econometric Reviews , 11 : 143 – 72 .
  • Brock , W and LeBaron , B . 1996 . A dynamic structural model for stock return volatility and trading volume . Review of Economics and Statistics , 78 : 94 – 110 .
  • Campbell , JLA and Mackinlay , A . 1997 . The Econometrics of Financial Markets , Princeton : Princeton University Press .
  • Daigler , RT and Wiley , MK . 1999 . The impact of trader type on the futures volatility-volume relation . Journal of Finance , 53 : 2297 – 316 .
  • Day , T and Lewis , C . 1992 . Stock market volatility and the information content of stock index options . Journal of Econometrics , 52 : 267 – 87 .
  • Dickey , D and Fuller , W . 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 71 .
  • Enders , W . 2004 . Applied Econometric Time Series , 2nd , New York : John Wiley .
  • Engle , R . 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of the UK inflation . Econometrica , 50 : 987 – 1008 .
  • Engle , R and Ng , V . 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 78 .
  • Federal Reserve System . 1943 . Banking and Monetary Statistics Washington, DC
  • Field , AJ . 1984 . A new interpretation of the onset of great depression . Journal of Economic History , 44 : 489 – 98 .
  • Fisher , I . 1930 . The Stock Market Crash–and After , New York : MacMillan .
  • Frances , P and van Dijk , D . 1996 . Forecasting stock market volatility using (nonlinear) GARCH models . Journal of Forecasting , 15 : 229 – 35 .
  • Friedman , M and Schwartz , AJ . 1963 . A Monetary History of the United States: 18671960 , Princeton, NJ : Princeton University Press .
  • Galbraith , JK . 1961 . The Great Crash, 1929 , 2nd , Boston : Houghton Mifflin .
  • Gokcan , S . 2000 . Forecasting volatility of emerging stock markets: linear versus nonlinear GARCH models . Journal of Forecasting , 19 : 499 – 504 .
  • Harvey , A . 1994 . Time Series Models , 2nd , Cambridge, MA : MIT Press .
  • Hiemstra , C and Jones , JD . 1994 . Testing for linear and nonlinear Granger causality in the stock price-volume relation . Journal of Finance , 49 : 1639 – 64 .
  • Jones , CM , Kaul , G and Lipson , ML . 1994 . Transactions, volume, and volatility . Review of Financial Studies , 7 : 631 – 51 .
  • Kim , M , Nelson , C and Startz , R . 1991 . Mean reversion in stock prices? A reappraisal of the empirical evidence . Review of Economic Studies , 58 : 515 – 28 .
  • Karpoff , JM . 1987 . The relation between price changes and trading volume: a survey . Journal of Financial and Quantitative Analysis , 22 : 109 – 26 .
  • Lamoreux , C and Lastrapes , W . 1990 . Heteroskedasticity in stock return data: volume versus GARCH effects . Journal of Finance , 45 : 221 – 9 .
  • Mills , T . 1999 . The Econometric Modelling of Financial Time Series , 2nd , Cambridge, UK : Cambridge University Press .
  • Moen , J and Tallman , EW . 1992 . The bank panic of 1907: the role of trust companies . Journal of Economic History , 52 : 611 – 30 .
  • Odean , T . 1998 . Volume, volatility, price, and profit when all traders are above average . Journal of Finance , 53 : 1887 – 934 .
  • Omran , M and Urga , G . 2000 . Heteroskedasticity in stock returns data revisited: volume versus GARCH effects . Applied Financial Economics , 10 : 553 – 60 .
  • Pagan , A and Schwert , G . 1990 . Alternative models for conditional stock market volatility . Journal of Econometrics , 45 : 267 – 90 .
  • Rappoport , P and White , EN . 1993 . Was there a bubble in the 1929 stock market? . Journal of Economic History , 53 : 549 – 74 .
  • Rappoport , P and White , EN . 1994 . Was the crash of 1929 expected? . American Economic Review , 84 : 271 – 281 .
  • Ross , S . 1989 . Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevency . Journal of Finance , 44 : 1 – 17 .
  • Thel , S . 1990 . The original conception of section 10(b) of the Securities Exchange Act . Stanford Law Review , 42 : 385 – 464 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.