The turbulences in the international financial markets during the summer and autumn of 1998 put the price formation and liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took place, investors shifted a large part of their...

The turbulences in the international financial markets during the summer and autumn of 1998 put the price formation and liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took place, investors shifted a large part of their...

In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price is large then the trading volume is also large. We also...