The Dependence between Hourly Prices and Trading Volume
研究纽约证券交易所股票的小时交易量与收益率之间的联合特征，发现交易量在一天内和一周内存在显著差异，且与当期及滞后四小时的收益率相关。
This study provides evidence on joint characteristics of hourly common stock trading vol? ume and returns on the New York Stock Exchange. Average volume traded shows signifi? cant differences across trading hours of the day and across days of the week. Average returns differ across hours ofthe day, and, to some extent, across days ofthe week. There is a strong contemporaneous relation between trading volume and returns and also a rela? tion between trading volume and returns lagged up to four hours. Furthermore, the trading volume-returns relation is steeper for positive returns than for nonpositive returns.