We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...

Using high-frequency price and volume data from several large exchanges, we show that FOMC and CPI announcements have a massive impact on Bitcoin's realized volatility and volume. However, this effect is a recent phenomenon, which started as inflation rose at the beginning of 2021. We also...

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...

The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more...

This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from...

I use industry-level returns in foreign markets to examine the hypothesis that value-relevant foreign information slowly diffuses into the stock prices of U.S. multinational firms. A trading strategy that exploits foreign information generates abnormal returns of 0.8% monthly. I find that the...

As illustrated in the tale of “the dog that did not bark,” the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time...

Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...

I examine 468 estimates on the relationship between trading volume and stock returns reported in 44 studies. I deploy recent nonlinear techniques for detecting publication bias together with Bayesian and frequentist model averaging to evaluate the heterogeneity in the estimates. The results...

We study the impact of the adoption of zero commissions by major retail brokers and find that retail brokers that started charging zero commissions dramatically increase their market share of client assets. In addition, these retail brokers increasingly routed orders off exchange (i.e., OTC) to...