Hiemstra is from the Department of Accounting and Finance, University of Strathclyde, and Jones is from the Office of Economic Analysis, Securities and Exchange Commission. The Securities and Exchange Commission, as a matter of policy, disclaims responsibility for any private publication or statement of its employees. The views expressed here are those of the author and do not necessarily represent the views of the Securities and Exchange Commission or the author's colleagues on the staff of the Commission. The authors thank Cathy Bonser-Neal, Ted Jaditz, Bruce Johnsen, Chris Jones, Blake LeBaron, Chris Muscarella, Bob Nachtmann, Rob Neal, Fred Phillips-Patrick, Phil Rothman, Chera Sayers, Mike Williams, an anonymous referee, and René Stulz for helpful comments. Earlier versions of this article were presented at the 1992 North American Summer Meetings of the Econometric Society, the 1992 Western Economic Association Conference, and workshops at the Bureau of Labor Statistics, the Santa Fe Institute, and the Economics Department of Southern Methodist University.
Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation
Version of Record online: 30 APR 2012
© 1994 the American Finance Association
The Journal of Finance
Volume 49, Issue 5, pages 1639–1664, December 1994
How to Cite
HIEMSTRA, C. and JONES, J. D. (1994), Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation. The Journal of Finance, 49: 1639–1664. doi: 10.1111/j.1540-6261.1994.tb04776.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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