previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

volatility of the leveraged and leveraged inverse ETFs are also significantly larger than those of the benchmark ETFs. Trading …-shaped intraday pattern for trading volume and return volatility, respectively. These empirical results are important for individual …

realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …

, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the …

listed in Hong Kong (southbound). There is a positive (negative) cross-sectional relationship between volatility of connected …

volume. This paper explores the effect of sentiment on the stock market's trading volume. Increase in Volatility Index (VIX … more chances for investors to time their trade as the volatility of liquidity increases. These two kinds of impact lower …

This study investigates the relation between volatility in the returns and trading volume adjusted for overall up … variance equation of the GARCH(1,1) model tend to reduce persistence in volatility more than the contemporaneous and lagged … trading volume. The overnight non-trading period downward price movement induced trading volume affect conditional volatility …

This study investigates the relationship between the volatility of stock market indexes and the trading volumes of … volume of S&P 500 ETFs is a key determinant of S&P 500 volatility at both monthly and daily frequencies. Vector … autoregressive estimation on the other hand suggests a two-way Granger causality between S&P 500 volatility and the trading of S …

before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …