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Can Speculative Trading Explain the Volume-Volatility Relation?

✍ Scribed by F. Douglas Foster and S. Viswanathan

Book ID
124697543
Publisher
American Statistical Association
Year
1995
Tongue
English
Weight
733 KB
Volume
13
Category
Article
ISSN
0735-0015

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πŸ“œ SIMILAR VOLUMES

New evidence on the relation between ret
New evidence on the relation between return volatility and trading volume
✍ Thomas C. Chiang; Zhuo Qiao; Wing-Keung Wong πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 122 KB

## Abstract In the empirical literature, it has been shown that there exists both linear and non‐linear bi‐directional causality between trading volumes and return volatility (measured by the square of daily return). We re‐examine this claim by using realized volatility as an estimator of the unobs