The dynamic relations among return volat
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An-Sing Chen; Hung-Gay Fung; Erin H.C. Kao
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Article
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2008
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Elsevier Science
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English
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Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining v