This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set … Rahman et al (2002), our results indicated that the GARCH (1,1) model best describes the volatility of intraday returns …. Current volatility can be explained by past volatility that persists over time. Our results also show that the persistence in …

incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January …This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any … 1992 to 31 May 2004. Using a conditional volatility framework that allows for excess kurtosis in returns, we find that CSV …

relation with the volatility and a negative relation with stock prices, while the striking reversed L-shaped pattern of the … depths has a negative relation with stock prices and the volatility but a positive relation with trading volumes. Finally …

option. As the volatility increases, so does the value of the option of selling the products to the prospective customers. We … also establish that volatility of reserves and hence imperfection in rationality of buyers, can have positive impact on …

After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found … that the open-to-open return variance is consistently greater than the close-to-close variance. The volatility of interday … higher interday volatility than the afternoon session. This broadly L-shaped interday volatility is also supported by an L …

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset … volatility of intraday returns. Our results also show that the persistence in volatility remains in the intraday return series … as an information variable has quite a limited effect on the volatility of intraday returns in the Shanghai stock market …

in-depth interviews were conducted on fifty-four software firms in Australia and the findings discussed. …