Japanese Economic Review, Vol. We employ an adaptive Bayesian Markov chain Monte Carlo method with asymmetric Laplace distribution to study six daily Dow Jones Industrial stocks. The proposed model captures asymmetric risk through market beta and volume coefficients, which change discretely between regimes. Moreover, they are driven by market information and various quantile levels. This study finds that abnormal volume has significantly negative effects on excess stock returns under low quantile levels; however, there are significantly positive effects under high quantile levels.

The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions. A Threshold Quantile Regression Approach March Subscribe to this fee journal for more curated articles on this topic.

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach

Subscribe to this free journal for more curated articles on this topic. Capital Markets - Asset Pricing eJournal. If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity. Cookies are used by this site. To decline or learn more, visit our Cookies page.

This page was processed by apollo7 in 0. Your Account User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out. Using the URL or DOI link below will ensure access to this page indefinitely. Chen Contact Author Feng Chia University - Department of Statistics email Wen Hwa Road Taichung, Taiwan 4 ext Phone 4 Fax HOME PAGE: Related eJournals Capital Markets: Market Efficiency eJournal Follow.

Market Efficiency eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Market Microstructure eJournal Follow.

Market Microstructure eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Japanese Economic Review Follow.

Evidence of Stock Returns and Abnormal Trading Volume: A Quantile Regression Approach by Cathy W. S. Chen, Mike K. P. So, Thomas Chinan Chiang :: SSRN

Japanese Economic Review Subscribe to this free journal for more curated articles on this topic FOLLOWERS. Capital Markets - Asset Pricing eJournal Follow. Capital Markets - Asset Pricing eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Eastern, Monday - Friday.

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach. Submit a Paper Section Text Only Pages. Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up.

Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs.

Copyright Terms and Conditions Privacy Policy.