We test for Granger-causality between trading volume and price volatility. We modify the standard regression procedure in several ways. We take the first difference of the logarithmic transformation of each series to account for potential nonstationarity in the data. We isolate the time series...

This paper examines trading volume reaction to initiations of open market share repurchases. We observe no change in trading volume for repurchases announced immediately after the October 1987 stock market crash. In contrast, we find astrong announcement period volume reaction for a sample of...