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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus (contributor);  … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …
Persistent link: https://www.econbiz.de/10003727673
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Order imbalance, market returns and macroeconomic news evidence from the Australian interest rate futures market
Smales, Lee A. - In: Research in international business and finance 26 (2012) 3, pp. 410-427
Persistent link: https://www.econbiz.de/10009615910
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Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market
Smales, Lee A. - 2013
The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...
Persistent link: https://www.econbiz.de/10013092145
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Price impact of corporate bond trading : evidence from the australian securities exchange
Frino, Alex; Lepone, Andrew; Lepone, Grace - In: Review of Pacific Basin financial markets and policies 22 (2019) 3, pp. 1950020-1-1950020-22
Persistent link: https://www.econbiz.de/10012156159
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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
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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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No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange
Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167
Persistent link: https://www.econbiz.de/10009713176
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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
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A generalized autoregressive conditional heteroskedasticity examination of the relationship between trading volume and conditional volatility in the Tunisian stock market : evidenc...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International journal of economics and financial issues … 5 (2015) 2, pp. 354-364
Persistent link: https://www.econbiz.de/10011453520
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The role of trading volume in the "volatility puzzle"
Lee, Dong Wook - In: Asia-Pacific journal of financial studies 44 (2015) 5, pp. 783-809
Persistent link: https://www.econbiz.de/10011471060