{"id":"https://openalex.org/W2158774545","doi":"https://doi.org/10.1111/jere.12074","title":"Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach","display_name":"Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach","publication_year":2015,"publication_date":"2015-07-16","ids":{"openalex":"https://openalex.org/W2158774545","doi":"https://doi.org/10.1111/jere.12074","mag":"2158774545"},"language":"en","primary_location":{"id":"doi:10.1111/jere.12074","doi":"https://doi.org/10.1111/jere.12074","is_oa":false,"landing_page_url":"https://doi.org/10.1111/jere.12074","pdf_url":null,"source":{"id":"https://openalex.org/S41930762","display_name":"Japanese Economic Review","issn_l":"1352-4739","issn":["1352-4739","1468-5876"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Japanese Economic Review","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2555900","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030640403","display_name":"Cathy W. S. Chen","orcid":"https://orcid.org/0000-0001-8727-8168","observed_orcids":["https://orcid.org/0000-0001-8727-8168"]},"institutions":[{"id":"https://openalex.org/I4880106","display_name":"Feng Chia University","ror":"https://ror.org/05vhczg54","country_code":"TW","type":"education","lineage":["https://openalex.org/I4880106"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Cathy W.S. Chen","raw_affiliation_strings":["Feng Chia University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Feng Chia University","institution_ids":["https://openalex.org/I4880106"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5061166145","display_name":"Mike K. P. So","orcid":"https://orcid.org/0000-0003-0781-8166","observed_orcids":["https://orcid.org/0000-0003-0781-8166"]},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Mike K.P. So","raw_affiliation_strings":["The Hong Kong University of Science and Technology"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The Hong Kong University of Science and Technology","institution_ids":["https://openalex.org/I200769079"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039525186","display_name":"Thomas Chi-Nan Chiang","orcid":"https://orcid.org/0000-0002-1586-3437","observed_orcids":["https://orcid.org/0000-0002-1586-3437"]},"institutions":[{"id":"https://openalex.org/I72816309","display_name":"Drexel University","ror":"https://ror.org/04bdffz58","country_code":"US","type":"education","lineage":["https://openalex.org/I72816309"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Thomas C. Chiang","raw_affiliation_strings":["Drexel University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Drexel University","institution_ids":["https://openalex.org/I72816309"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5030640403"],"corresponding_institution_ids":["https://openalex.org/I4880106"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":2.4223,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.90315806,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"67","issue":"1","first_page":"96","last_page":"124"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6230000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"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"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6230000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.3716000020503998,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"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/T11059","display_name":"Market Dynamics and Volatility","score":0.0012000000569969416,"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/abnormal-trading-volume","display_name":"abnormal trading volume","score":0.9419999718666077},{"id":"https://openalex.org/keywords/asymmetric-risk","display_name":"asymmetric risk","score":0.7279999852180481},{"id":"https://openalex.org/keywords/market-beta","display_name":"market beta","score":0.9340000152587891},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.6520000100135803},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.6209999918937683},{"id":"https://openalex.org/keywords/asymmetric-laplace-distribution","display_name":"asymmetric Laplace distribution","score":0.7490000128746033},{"id":"https://openalex.org/keywords/bayesian-mcmc","display_name":"Bayesian MCMC","score":0.8240000009536743},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"capital asset pricing model","score":0.7680000066757202}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7481178641319275},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.7146811485290527},{"id":"https://openalex.org/C63817138","wikidata":"https://www.wikidata.org/wiki/Q3455889","display_name":"Quantile regression","level":2,"score":0.7063075304031372},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7000181674957275},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5509909987449646},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.5428540706634521},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4858545958995819},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.477744996547699},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.4488251805305481},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.43389901518821716},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.372593492269516},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20403599739074707},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.20393702387809753}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1111/jere.12074","doi":"https://doi.org/10.1111/jere.12074","is_oa":false,"landing_page_url":"https://doi.org/10.1111/jere.12074","pdf_url":null,"source":{"id":"https://openalex.org/S41930762","display_name":"Japanese Economic Review","issn_l":"1352-4739","issn":["1352-4739","1468-5876"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Japanese Economic Review","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2555900","doi":"https://doi.org/10.2139/ssrn.2555900","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2555900","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-76276","doi":null,"is_oa":false,"landing_page_url":"https://repository.hkust.edu.hk/ir/Record/1783.1-76276","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:RePEc:bla:jecrev:v:67:y:2016:i:1:p:96-124","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1111/jere.12074","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"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":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:spr:jecrev:v:67:y:2016:i:1:d:10.1111_jere.12074","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1111/jere.12074","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"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":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2555900","doi":"https://doi.org/10.2139/ssrn.2555900","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2555900","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G2310697778","display_name":"Bayesian Inference of Time Series of Counts and Related Nonlinear Models","funder_award_id":"MOST103-2118-M035-002-MY2","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"}],"funders":[{"id":"https://openalex.org/F4320322795","display_name":"Ministry of Science and Technology, Taiwan","ror":"https://ror.org/02kv4zf79"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W41409100","https://openalex.org/W96332730","https://openalex.org/W1576326745","https://openalex.org/W1973250230","https://openalex.org/W1982288993","https://openalex.org/W1996121590","https://openalex.org/W2007024524","https://openalex.org/W2022624980","https://openalex.org/W2027874509","https://openalex.org/W2031972378","https://openalex.org/W2035256086","https://openalex.org/W2038295726","https://openalex.org/W2038693653","https://openalex.org/W2049239673","https://openalex.org/W2051931130","https://openalex.org/W2056760934","https://openalex.org/W2060965681","https://openalex.org/W2067647960","https://openalex.org/W2081353638","https://openalex.org/W2083918790","https://openalex.org/W2084871407","https://openalex.org/W2088563154","https://openalex.org/W2101194190","https://openalex.org/W2107459714","https://openalex.org/W2110348891","https://openalex.org/W2118711140","https://openalex.org/W2128561109","https://openalex.org/W2138103628","https://openalex.org/W2138309709","https://openalex.org/W2139080644","https://openalex.org/W2153146814","https://openalex.org/W2157403008","https://openalex.org/W2167649482","https://openalex.org/W2215963554","https://openalex.org/W2232028406","https://openalex.org/W3121290475","https://openalex.org/W3121684375","https://openalex.org/W3122824131","https://openalex.org/W3124616545","https://openalex.org/W3124865411","https://openalex.org/W3124888226","https://openalex.org/W3125304144","https://openalex.org/W4241653265","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2096634176","https://openalex.org/W4415306419","https://openalex.org/W2783252237","https://openalex.org/W4379986522","https://openalex.org/W1504754444","https://openalex.org/W7163642973","https://openalex.org/W2021030109","https://openalex.org/W6995740868","https://openalex.org/W4388769917","https://openalex.org/W3119722213"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":5},{"year":2017,"cited_by_count":3},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2016-06-24T00:00:00"}