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Pasquariello, Paolo - In: Journal of Economic Theory 149 (2014) C, pp. 276-310

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

Persistent link: https://www.econbiz.de/10010729551

The structure of contemporaneous price-volume relationships in financial markets

Gurgul, Henryk; Syrek, Robert - In: Managerial Economics 14 (2013), pp. 39-60

The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading … information arrival process with long memory. Correlation between volatility and trading volume is present for all the stocks of … extreme return-volume dependence structures. The empirical results reflect significant dependencies between high volatility …

Persistent link: https://www.econbiz.de/10010752345

Trading volume and volatility in the shipping forward freight market

Alizadeh, Amir H. - In: Transportation Research Part E: Logistics and … 49 (2013) 1, pp. 250-265

This paper investigates the price volatility and trading volume relationship in the forward freight agreement (FFA … contemporaneous and positive relation between trading volume and volatility, which is in line with evidence from financial markets and … the Mixture of Distribution Hypothesis. However, increases in price volatility lead to lower future trading activities in …

Persistent link: https://www.econbiz.de/10010754999

An evolutionary CAPM under heterogeneous beliefs

Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - In: Annals of Finance 9 (2013) 2, pp. 185-215

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

Persistent link: https://www.econbiz.de/10010866548

Dynamic return predictability in the Russian stock market

Kinnunen, Jyri - In: Emerging Markets Review 15 (2013) C, pp. 107-121

This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the...

Persistent link: https://www.econbiz.de/10010666220

An Evolutionary CAPM Under Heterogeneous Beliefs

Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2012

persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …

Persistent link: https://www.econbiz.de/10010643371