This paper examines the relationship between the abnormal change in trading volume of both individual stocks and portfolios and short-term price autoregressive behavior in the Saudi stock market (SSM). Our objective is to investigate the informational role that trading volume plays in predicting...

Despite the well known importance of volatility-volume relationship, there is a paucity of research on this topic in emerging markets. We attempt to partially fill this gap by investigating volatility-volume relationship in the most important exchange market in the Middle East. We test the...

In this article, we investigate possible lead and lag relationship in returns and volatilities between cash and futures markets in Korea. Utilizing intraday data from the newly established futures market in Korea, we find that the futures market leads the cash market by as long as 30 minutes....