consistent with Prospect Theory (Kahneman and Tversky, [39]; Tversky and Kahneman, [63]), i.e., loss aversion and mild risk …, nontrivial, state-dependent effects on equilibrium market liquidity, price volatility, trading volume, market efficiency, and …

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 …

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

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

return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …

Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and …

proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …