In this paper, the vector autoregressive model is fitted to find out the causal relationship among realized volatility, the number of transactions and volume with the intraday time intervals of 10, 20 and 30 minutes. To understand the impact of shock to the market on specific variables, a...

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading...

This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks,...