Su, Yuli; Yip, Yewmun - In: Global Business and Economics Review 9 (2007) 1, pp. 38-61
daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market … have additional effects on the volatility of stock returns for the majority of the Hang Seng Index component stocks. On the … other hand, over a longer horizon, an increase in volatility is observed despite a decline in trading volume. Our results …