Stock Prices and Volume
A. Ronald Gallant, Peter E. Rossi, and George E. Tauchen
The Review of Financial Studies, Vol. 5, No. 2, pp. 199-242.
We undertake a comprehensive investigation of price and volume co-
movements using daily New York Stock Exchange data from 1928 to 1987.
We adjust the data to take into account well-known calendar effects
and long-run trends. To describe the process, we use a
seminonparametric estimate of the joint density of current price
change and volume conditional on past price changes and volume. Four
empirical regularities are found: (i) positive correlation between
conditional volatility and volume; (ii) large price movements are
followed by high volume; (iii) conditioning on lagged volume
substantially attenuates the "leverage" effect; and (iv) after
conditioning on lagged volume, there is a positive risk-return