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 …

This study investigates the relationship between trading volume and returns and volatility of Pakistani market for the …-M models are used to test the return, volatility and volume relationship. The results indicate that there is evidence of first … is significant interaction between trading volume and return volatility when volume is entered into variance equation of …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …

, and volatility) from the DAX, MDAX, SDAX, and TecDAX for the period from 2003 to 2017 and show, with modern time …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long …-REIT equity indexes. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display …

simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …