In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a … reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index … measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which …

stock prices. Further analysis suggests that high costs of trading options — implied volatility premiums and transaction …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …

respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity …

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …