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The intraday relation between return volatility, transactions, and volume☆

✍ Scribed by Xiaoqing Eleanor Xu; Chunchi Wu

Book ID
114344405
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
132 KB
Volume
8
Category
Article
ISSN
1059-0560

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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 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 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