This study investigates the relation between volatility in the returns and trading volume adjusted for overall up/down price movement in 59 stocks from the Australian market. Two proxies for rate of information arrival accommodating up/down price movement over the trading period and the...

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities...