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A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data

Streeter, Denise W.; Najand, Mohammad; Dondeti, V. Reddy; … - In: International journal of bonds and derivatives 1 (2015) 4, pp. 284-301

Persistent link: https://www.econbiz.de/10011546737

Macroeconomic news surprises, volume and volatility relationship in index futures market

Banerjee, Ameet Kumar; Pradhan, H. K.; Tripathy, Trilochan - In: Applied economics 52 (2020) 3, pp. 275-287

Persistent link: https://www.econbiz.de/10012197389

Forecasting excess returns and abnormal trading volume using investor sentiment : evidence from Chinese stock index futures market

Gao, Bin; Xie, Jun - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 3, pp. 593-612

Persistent link: https://www.econbiz.de/10012211483

Three essays on the econometrics of options markets

Lazarov, Zdravetz N. - 2004

Persistent link: https://www.econbiz.de/10002613885

Optionsbewertung bei stochastischer Volatilität

Nagel, Hartmut - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001530489

Bayesian analysis of dynamic bivariate mixture models : can they explain the behavior of returns and trading volume?

Watanabe, Toshiaki - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 199-210

Persistent link: https://www.econbiz.de/10001469682

The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange

Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5 …

Persistent link: https://www.econbiz.de/10014230946

Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161

Persistent link: https://www.econbiz.de/10011644073

Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262

Examining the relationship between stock return volatility and trading volume : new evidence from an emerging economy

Bose, Shekar; Rahman, Hafizur - In: Applied economics 47 (2015) 16/18, pp. 1899-1908

Persistent link: https://www.econbiz.de/10010511945

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