Publication Information

{'id': 'https://openalex.org/W3121392242', 'doi': None, 'title': 'Causality in Quantiles and Dynamic Stock Return-Volume Relations', 'display_name': 'Causality in Quantiles and Dynamic Stock Return-Volume Relations', 'publication_year': 2007, 'publication_date': '2007-06-01', 'ids': {'openalex': 'https://openalex.org/W3121392242', 'mag': '3121392242'}, 'language': 'en', 'primary_location': {'is_oa': False, 'landing_page_url': 'https://EconPapers.repec.org/RePEc:sin:wpaper:07-a006', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, 'is_in_doaj': False, 'is_core': False, 'host_organization': 'https://openalex.org/I77793887', 'host_organization_name': 'Federal Reserve Bank of St. Louis', 'host_organization_lineage': ['https://openalex.org/I77793887'], 'host_organization_lineage_names': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}, 'type': 'preprint', 'type_crossref': 'posted-content', 'indexed_in': [], 'open_access': {'is_oa': False, 'oa_status': 'closed', 'oa_url': None, 'any_repository_has_fulltext': False}, 'authorships': [{'author_position': 'first', 'author': {'id': 'https://openalex.org/A5022891701', 'display_name': 'Chia-Chang Chuang', 'orcid': None}, 'institutions': [{'id': 'https://openalex.org/I43566213', 'display_name': 'National Taipei University of Business', 'ror': 'https://ror.org/029hrv109', 'country_code': 'TW', 'type': 'education', 'lineage': ['https://openalex.org/I43566213']}], 'countries': ['TW'], 'is_corresponding': False, 'raw_author_name': 'Chia-Chang Chuang', 'raw_affiliation_strings': ['Department of International Business, National Taipei College of Business, Taiwan'], 'affiliations': [{'raw_affiliation_string': 'Department of International Business, National Taipei College of Business, Taiwan', 'institution_ids': ['https://openalex.org/I43566213']}]}, {'author_position': 'middle', 'author': {'id': 'https://openalex.org/A5112022182', 'display_name': 'Chung‐Ming Kuan', 'orcid': None}, 'institutions': [{'id': 'https://openalex.org/I16733864', 'display_name': 'National Taiwan University', 'ror': 'https://ror.org/05bqach95', 'country_code': 'TW', 'type': 'education', 'lineage': ['https://openalex.org/I16733864']}], 'countries': ['TW'], 'is_corresponding': False, 'raw_author_name': 'Chung-Ming Kuan', 'raw_affiliation_strings': ['Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Road, Taipei 10617, Taiwan#TAB#'], 'affiliations': [{'raw_affiliation_string': 'Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Road, Taipei 10617, Taiwan#TAB#', 'institution_ids': ['https://openalex.org/I16733864']}]}, {'author_position': 'last', 'author': {'id': 'https://openalex.org/A5111441653', 'display_name': 'Hsin‐Yi Lin', 'orcid': None}, 'institutions': [{'id': 'https://openalex.org/I87354575', 'display_name': 'National Chengchi University', 'ror': 'https://ror.org/03rqk8h36', 'country_code': 'TW', 'type': 'education', 'lineage': ['https://openalex.org/I87354575']}], 'countries': ['TW'], 'is_corresponding': False, 'raw_author_name': 'Hsin-Yi Lin', 'raw_affiliation_strings': ['Department of Economics, National ChengChi University, Taiwan'], 'affiliations': [{'raw_affiliation_string': 'Department of Economics, National ChengChi University, Taiwan', 'institution_ids': ['https://openalex.org/I87354575']}]}], 'institution_assertions': [], 'countries_distinct_count': 1, 'institutions_distinct_count': 3, 'corresponding_author_ids': [], 'corresponding_institution_ids': [], 'apc_list': None, 'apc_paid': None, 'fwci': None, 'has_fulltext': False, 'cited_by_count': 0, 'citation_normalized_percentile': {'value': 0.0, 'is_in_top_1_percent': False, 'is_in_top_10_percent': False}, 'cited_by_percentile_year': {'min': 0, 'max': 63}, 'biblio': {'volume': None, 'issue': None, 'first_page': None, 'last_page': None}, 'is_retracted': False, 'is_paratext': False, 'primary_topic': {'id': 'https://openalex.org/T11059', 'display_name': 'Market Dynamics and Volatility', 'score': 0.9913, 'subfield': {'id': 'https://openalex.org/subfields/2002', 'display_name': 'Economics and Econometrics'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, 'topics': [{'id': 'https://openalex.org/T11059', 'display_name': 'Market Dynamics and Volatility', 'score': 0.9913, 'subfield': {'id': 'https://openalex.org/subfields/2002', 'display_name': 'Economics and Econometrics'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, {'id': 'https://openalex.org/T10007', 'display_name': 'Monetary Policy and Economic Impact', 'score': 0.9712, 'subfield': {'id': 'https://openalex.org/subfields/2000', 'display_name': 'General Economics, Econometrics and Finance'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, {'id': 'https://openalex.org/T11270', 'display_name': 'Complex Systems and Time Series Analysis', 'score': 0.9466, 'subfield': {'id': 'https://openalex.org/subfields/2002', 'display_name': 'Economics and Econometrics'}, 'field': {'id': 'https://openalex.org/fields/20', 'display_name': 'Economics, Econometrics and Finance'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}], 'keywords': [{'id': 'https://openalex.org/keywords/quantile', 'display_name': 'Quantile', 'score': 0.9390104}, {'id': 'https://openalex.org/keywords/causality', 'display_name': 'Causality', 'score': 0.61255664}, {'id': 'https://openalex.org/keywords/stock', 'display_name': 'Stock (firearms)', 'score': 0.53076047}, {'id': 'https://openalex.org/keywords/quantile-regression', 'display_name': 'Quantile regression', 'score': 0.5097355}, {'id': 'https://openalex.org/keywords/wald-test', 'display_name': 'Wald test', 'score': 0.46710837}, {'id': 'https://openalex.org/keywords/proxy', 'display_name': 'Proxy (statistics)', 'score': 0.4164731}], 'concepts': [{'id': 'https://openalex.org/C118671147', 'wikidata': 'https://www.wikidata.org/wiki/Q578714', 'display_name': 'Quantile', 'level': 2, 'score': 0.9390104}, {'id': 'https://openalex.org/C149782125', 'wikidata': 'https://www.wikidata.org/wiki/Q160039', 'display_name': 'Econometrics', 'level': 1, 'score': 0.8016069}, {'id': 'https://openalex.org/C129824826', 'wikidata': 'https://www.wikidata.org/wiki/Q2630107', 'display_name': 'Granger causality', 'level': 2, 'score': 0.61755157}, {'id': 'https://openalex.org/C64357122', 'wikidata': 'https://www.wikidata.org/wiki/Q1149766', 'display_name': 'Causality (physics)', 'level': 2, 'score': 0.61255664}, {'id': 'https://openalex.org/C204036174', 'wikidata': 'https://www.wikidata.org/wiki/Q909380', 'display_name': 'Stock (firearms)', 'level': 2, 'score': 0.53076047}, {'id': 'https://openalex.org/C63817138', 'wikidata': 'https://www.wikidata.org/wiki/Q3455889', 'display_name': 'Quantile regression', 'level': 2, 'score': 0.5097355}, {'id': 'https://openalex.org/C162324750', 'wikidata': 'https://www.wikidata.org/wiki/Q8134', 'display_name': 'Economics', 'level': 0, 'score': 0.5023482}, {'id': 'https://openalex.org/C203274628', 'wikidata': 'https://www.wikidata.org/wiki/Q748664', 'display_name': 'Wald test', 'level': 3, 'score': 0.46710837}, {'id': 'https://openalex.org/C91602232', 'wikidata': 'https://www.wikidata.org/wiki/Q756115', 'display_name': 'Volatility (finance)', 'level': 2, 'score': 0.44285393}, {'id': 'https://openalex.org/C33923547', 'wikidata': 'https://www.wikidata.org/wiki/Q395', 'display_name': 'Mathematics', 'level': 0, 'score': 0.437658}, {'id': 'https://openalex.org/C2780148112', 'wikidata': 'https://www.wikidata.org/wiki/Q1432581', 'display_name': 'Proxy (statistics)', 'level': 2, 'score': 0.4164731}, {'id': 'https://openalex.org/C105795698', 'wikidata': 'https://www.wikidata.org/wiki/Q12483', 'display_name': 'Statistics', 'level': 1, 'score': 0.3904763}, {'id': 'https://openalex.org/C87007009', 'wikidata': 'https://www.wikidata.org/wiki/Q210832', 'display_name': 'Statistical hypothesis testing', 'level': 2, 'score': 0.27460948}, {'id': 'https://openalex.org/C78519656', 'wikidata': 'https://www.wikidata.org/wiki/Q101333', 'display_name': 'Mechanical engineering', 'level': 1, 'score': 0.0}, {'id': 'https://openalex.org/C121332964', 'wikidata': 'https://www.wikidata.org/wiki/Q413', 'display_name': 'Physics', 'level': 0, 'score': 0.0}, {'id': 'https://openalex.org/C62520636', 'wikidata': 'https://www.wikidata.org/wiki/Q944', 'display_name': 'Quantum mechanics', 'level': 1, 'score': 0.0}, {'id': 'https://openalex.org/C127413603', 'wikidata': 'https://www.wikidata.org/wiki/Q11023', 'display_name': 'Engineering', 'level': 0, 'score': 0.0}], 'mesh': [], 'locations_count': 1, 'locations': [{'is_oa': False, 'landing_page_url': 'https://EconPapers.repec.org/RePEc:sin:wpaper:07-a006', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, 'is_in_doaj': False, 'is_core': False, 'host_organization': 'https://openalex.org/I77793887', 'host_organization_name': 'Federal Reserve Bank of St. Louis', 'host_organization_lineage': ['https://openalex.org/I77793887'], 'host_organization_lineage_names': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}], 'best_oa_location': None, 'sustainable_development_goals': [], 'grants': [], 'datasets': [], 'versions': [], 'referenced_works_count': 0, 'referenced_works': [], 'related_works': ['https://openalex.org/W3170691101', 'https://openalex.org/W3168823178', 'https://openalex.org/W3122593270', 'https://openalex.org/W3121684375', 'https://openalex.org/W3121380774', 'https://openalex.org/W3109892497', 'https://openalex.org/W3091426535', 'https://openalex.org/W3022496995', 'https://openalex.org/W3010515786', 'https://openalex.org/W2903951394', 'https://openalex.org/W2326271485', 'https://openalex.org/W2322031617', 'https://openalex.org/W2248859744', 'https://openalex.org/W2234290973', 'https://openalex.org/W2219044815', 'https://openalex.org/W2145339411', 'https://openalex.org/W2126559060', 'https://openalex.org/W2075952806', 'https://openalex.org/W1991188287', 'https://openalex.org/W1682855977'], 'abstract_inverted_index': {'This': [0, 56], 'paper': [1], 'investigates': [2], 'the': [3, 46, 69, 76, 85, 98, 124, 154, 157, 178], 'causal': [4, 125, 180], 'relations': [5, 143], 'between': [6], 'stock': [7, 91], 'return': [8, 115, 158, 171, 184], 'and': [9, 23, 68, 132, 135], 'volume': [10, 112, 162, 165, 186], 'based': [11], 'on': [12, 170, 185], 'quantile': [13, 66, 77, 179], 'regressions.': [14], 'We': [15], 'first': [16], 'define': [17], 'Granger': [18, 113], 'non-causality': [19, 26, 40, 63], 'in': [20, 41, 53, 64, 104, 116], 'all': [21, 117], 'quantiles': [22, 134], 'propose': [24], 'testing': [25, 70], 'by': [27], 'a': [28, 32, 167], 'sup-Wald': [29], 'test.': [30], 'Such': [31], 'test': [33, 57, 62, 100], 'is': [34, 58, 82, 174], 'consistent': [35], 'against': [36], 'any': [37], 'deviation': [38], 'from': [39], 'distribution,': [42], 'as': [43], 'opposed': [44], 'to': [45, 61, 74], 'existing': [47], 'tests': [48], 'that': [49, 110, 153, 164, 177], 'check': [50], 'only': [51], 'noncausality': [52], 'certain': [54], 'moment.': [55], 'readily': [59], 'extended': [60], 'different': [65], 'ranges,': [67], 'results': [71], 'enable': [72], 'us': [73], 'identify': [75], 'range': [78], 'for': [79], 'which': [80], 'causality': [81, 103], 'relevant.': [83], 'In': [84, 122], 'empirical': [86], 'studies': [87], 'of': [88, 156, 182], '3': [89], 'major': [90], 'market': [92], 'indices,': [93], 'we': [94], 'find': [95], 'that,': [96], 'while': [97], 'conventional': [99], 'suggests': [101], 'no': [102], 'mean,': [105], 'there': [106], 'are': [107, 136, 187], 'strong': [108], 'evidences': [109], 'lagged': [111, 183], 'causes': [114], 'but': [118], 'some': [119], 'middle': [120], 'quantiles.': [121, 141, 149], 'particular,': [123], 'effects': [126, 181], 'have': [127], 'opposite': [128], 'signs': [129], 'at': [130, 138], 'lower': [131], 'upper': [133], 'stronger': [137], 'more': [139], 'extreme': [140], 'These': [142], 'form': [144], '(symmetric)': [145], 'V': [146], 'shapes': [147], 'across': [148], 'They': [150], 'also': [151, 175], 'show': [152], 'dispersion': [155], 'distribution': [159], 'increases': [160], 'with': [161], 'so': [163], 'has': [166], 'positive': [168], 'effect': [169], 'volatility.': [172], 'It': [173], 'shown': [176], 'mainly': [188], 'negative.': [189]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W3121392242', 'counts_by_year': [], 'updated_date': '2024-12-06T06:57:33.400047', 'created_date': '2021-02-01'}