This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the...

The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading volumes of companies listed on the CAC40 and FTSE100. The authors establish that the mean values of respective measures are different on the markets under study. In general,...

The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return volatility and trading volume of selected...

The relationship between information flows and changes in asset prices is one of the main issues of financial economics. A fundamental assumption of the market efficiency hypothesis is that investors react to new information as it arrives. This reaction results in price changes that reflect...

In this paper, the authors explain the notion of long memory and report their results concerned with the long memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns) of American companies listed in DJIA index. The...

By applying copulas the examination was carried out to find out whether trading volume, stock return and return volatility are pairwise dependent. In the investigations it was shown that there exists a close relationship between these variables on the domestic market and between Polish stock...

In this study, the contributors present the results of their investigations into the long-memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns). Their database is daily stock data of German companies in the DAX...

This paper deals with market reactions to dividend announcements on the German stock market. Our study is based on a model of expected dividends with regard to the reluctance-to-change-dividends hypothesis. State-of-the-art models are used to detect price and volume reactions to dividend news....

This paper deals with an analysis of the information flow on and between three European stock markets operating in Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of reaction to a news release and changes in the duration...