Year
1996
Authors
LONGIN François, BALDUZZI P., KALLAL H.
Abstract
This paper examines stock-market prices and transaction volumes on the day where daily returns are minimal (in the year), from 1885 to 1990 in the New York Stock Exchange. We found that large minimal returns (in absolute terms) show little correlation with transaction volumes.
BALDUZZI, P., KALLAL, H. et LONGIN, F. (1996). Minimal Returns and the Breakdown of the Price-volume Relation. Economics Letters, pp. 265-269.