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Intraday volume and volatility relations with and without public news

✍ Scribed by Ali F. Darrat; Maosen Zhong; Louis T.W. Cheng

Book ID
116614920
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
396 KB
Volume
31
Category
Article
ISSN
0378-4266

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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