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Intraday characteristics of stock price crashes
Ammann, Manuel; Kessler, Stephan - In: Applied financial economics 19 (2009) 13/15, pp. 1239-1255
Persistent link: https://www.econbiz.de/10003886042
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Futures trading activity and stock price volatility : some extensions
Chatrath, Arjun; Song, Frank M.; Adrangi, Bahram - In: Applied financial economics 13 (2003) 9, pp. 655-664
Persistent link: https://www.econbiz.de/10001776851
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The intraday relationship between volume and volatility in LIFFE futures markets
Ap Gwilym, Owain; McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 9 (1999) 6, pp. 593-604
Persistent link: https://www.econbiz.de/10001525288
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Volume versus GARCH effects reconsidered : an application to the Spanish Government Bond Futures Market
García Montalvo, José - In: Applied financial economics 9 (1999) 5, pp. 469-475
Persistent link: https://www.econbiz.de/10001454996
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Return-volume dynamics in UK futures
McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 12 (2002) 10, pp. 707-713
Persistent link: https://www.econbiz.de/10001702508
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Trading activity and Nifty index futures volatility : an empirical analysis
Jena, Sangram Keshari; Dash, Ashutosh - In: Applied financial economics 24 (2014) 16/18, pp. 1167-1176
Persistent link: https://www.econbiz.de/10010418929
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The impact of listing stock options on the underlying securities : the case of Taiwan
Chen, Dar-hsin; Chang, Po-Hsun - In: Applied financial economics 18 (2008) 13/15, pp. 1161-1172
Persistent link: https://www.econbiz.de/10003760233
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The relationship between stock return volatility and trading volume : the case of the Philippines
Asai, Manabu; Unite, Angelo A. - In: Applied financial economics 18 (2008) 16/18, pp. 1333-1341
Persistent link: https://www.econbiz.de/10003779488
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Order imbalance, market returns and volatility : evidence from Thailand during the Asian crisis
Visaltanachoti, Nuttawat; Luo, Hang - In: Applied financial economics 19 (2009) 16/18, pp. 1391-1399
This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …
Persistent link: https://www.econbiz.de/10003886203
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A TARCH examination of the return volatility-volume relationship in electricity futures
Hadsell, Lester - In: Applied financial economics 16 (2006) 12, pp. 893-901
Persistent link: https://www.econbiz.de/10003377843