What are the basic pitfalls of regressing stock price on volume of shares traded? This is a time series dataset.
The model I'm using is:
As you can see I include a time trend $t$.
The R2 and p-value appears to come out good, but I'm more accustomed to cross-sectional analysis so don't really know what I'm doing. I'd appreciate it if someone with more time series knowledge could let me know if this is totally naive.