There is a long history of research into the impact of trading activity and information on financial market volatility. Based on 10 years of unique data on news items relating to gold and crude oil broadcast over the Reuters network, this study has two objectives. It investigates the impact of...

We study the volume–volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios, relative to the market, within the month; and the...

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are...

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the...

The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...

This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the...

What is the effect of either European Central Bank and Federal Reserve monetary policies on the Italian Index Mibtel? This paper aims to evaluate the impact of monetary policy announcements of the most important Central Banks on the volatility of returns which have been considered at both...

Except from being an indicator of regional development, city indexes formed in the area of finance by Borsa Istanbul might be a significant guide for investors while deciding on an investment in the relevant city. Due to the fact that the main purpose of these indexes is to monitor the price and...