This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data … stock return volatility. The result lends support to the stealth trading hypothesis (Barclay and Warner, 1993). After … controlling for trading frequency, the average trade size is found to have little explanatory power on price volatility. Stock …

Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is …We assess the stock market volatility spillover between three closely related countries, United States, China and … volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry …

Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the … analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in … the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This …

cluster volatility of asset returns transmission impact among four Asian-Pacific equity markets: Australia, India, Hong Kong … positive lagged cross-volatility persistence between all countries. Australia in particular, exposes evidence of strong … volatility persistence from all of the three markets to Australia. The strongest cross-volatility shock coefficients between …

We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new … large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S …

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …