Purpose – The purpose of this paper is to examine the change in speed of dissemination of order flow information on stock volatility of return in 79 traded companies at the Cairo and Alexandria Stock Exchange (CASE). Design/methodology/approach – The paper examines the interaction of...

We investigate the relationship between volatility and volume in five energy commodity futures contracts traded at the NYMEX for the period 1992 to 2006. We find that conditional volatility shows a high response to large information shocks and exhibits a great sensitivity to total expected and...