THE DYNAMIC RELATION BETWEEN RETURNS, TRADING VOLUME, AND VOLATILITY: LESSONS FROM SPILLOVERS BETWEEN ASIA AND THE UNITED STATES
✍ Scribed by Bartosz Gębka
- Book ID
- 110981390
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 575 KB
- Volume
- 64
- Category
- Article
- ISSN
- 0307-3378
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📜 SIMILAR VOLUMES
## 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
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