Tissaoui, Kais; Aloui, Chaker - In: International Journal of Financial Services Management 5 (2011) 1, pp. 52-82
This paper investigates the dynamics of information flow between stock return and trading volume in the Tunisian Stock Market (TSE) using intraday data covering the year 2006. The Cross-Correlation Function (CCF) suggested by Cheung and Ng is employed to detect the causality in mean and in...
