Koulakiotis, Athanasios; Babalos, Vasillios; … - In: Economics Letters 127 (2015) C, pp. 58-60
Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...