Faff, Robert W.; McKenzie, Michael D. - In: International Journal of Managerial Finance 3 (2007) April, pp. 191-196
volume and volatility are simultaneously modelled. Findings – The results of this study suggest that low or even negative … emphasis on the impact of return volatility that are theoretically linked through the behaviour of feedback traders. Design …/methodology/approach – The S&P 100, 500 and the NASDAQ 100 index are considered and volatility in each series is captured using option …
