This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …

United States. Furthermore, we find that bans on covered short sales generally succeeded in lowering volatility. Banning … (temporarily) stemming liquidity loss during crises. -- short selling ban ; liquidity ; volatility …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …