exist. Concerning the controversial issues we find that (i) volatility effects depend on the existence of tax havens and on …

trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of … regularities in the pattern of daily returns and volatility of the cash index. We also document intraday patterns in the basis, i … that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to …

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

predictive power for stock returns, volatility, and trading volume. In intertemporal and cross-sectional regression analyses, we … find no significant evidence that investor sentiment from Internet postings has predictive power for volatility and trading …

This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive … methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with … current volatility. Findings also reveal that trading volume shocks significantly contribute to the variability of volatility …

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …

, nontrivial, state-dependent effects on equilibrium market liquidity, price volatility, trading volume, market efficiency, and …

persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. Copyright Springer-Verlag Berlin Heidelberg 2013 …