Stock Prices and Volume

@article{Gallant1992StockPA,
  title={Stock Prices and Volume},
  author={A. Ronald Gallant and Peter E. Rossi and George Tauchen},
  journal={Review of Financial Studies},
  year={1992},
  volume={5},
  pages={199-242}
}
The authors undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. They adjust the data to take into account well-known calendar effects and long-run trends. To describe the process, they 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: (1) positive correlation between conditional volatility and… 

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