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 … momentum return investment strategy. A significant amount of positive serial correlation was also found in the volatility and …

, after controlling for factors generally known to affect stock liquidity such as volume and volatility. We investigate the … wide conditions. This study further tests the effect of the introduction of the stock index futures on the volatility of … the index, and finds an increase in conditional volatility in under the GARCH (1, 1) framework …