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|Title:||Time reversibility tests of volume-volatility dynamics for stock returns|
|Keywords:||ARCH and trading volume|
|Citation:||Fong, W.M. (2003). Time reversibility tests of volume-volatility dynamics for stock returns. Economics Letters 81 (1) : 39-45. ScholarBank@NUS Repository. https://doi.org/10.1016/S0165-1765(03)00146-0|
|Abstract:||Non-parametric tests based on the concept of time reversibility in statistical mechanics are applied to assess the dynamic implications of the mixture-of-distributions hypothesis (MDH). The tests show that shocks to volume and volatility are dynamically asymmetric, thus rejecting the one-factor MDH. © 2003 Elsevier B.V. All rights reserved.|
|Source Title:||Economics Letters|
|Appears in Collections:||Staff Publications|
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