Marsh, Terry A.; Wagner, Niklas - EconWPA - 2004
This paper reconsiders return-volume dependence for the U.S. and six international equity markets. We contribute to … conditions of market stress, the return-volume dependence is weaker, albeit mostly significant. The results for the U.S. market … return-volume dependence remains significant and symmetric. For the European and Asian markets, however, the dependence is …