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A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data

Streeter, Denise W.; Najand, Mohammad; Dondeti, V. Reddy; … - In: International journal of bonds and derivatives 1 (2015) 4, pp. 284-301

Persistent link: https://www.econbiz.de/10011546737

High-frequency trading and market quality : evidence from account-level futures data

Coughlan, John; Orlov, Alexei G. - In: The journal of futures markets 43 (2023) 8, pp. 1126-1160

Persistent link: https://www.econbiz.de/10014339377

The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange

Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5 …

Persistent link: https://www.econbiz.de/10014230946

Trading volume, bid-ask spread, and price volatility in futures markets

Wang, George H. K.; Yau, Jot - In: The journal of futures markets 20 (2000) 10, pp. 943-970

Persistent link: https://www.econbiz.de/10001530842

An examination of the relationship between the disposition effect and stock return, volatility, and trading volume : the evidence in US stock markets

Afi, Hatem - In: International journal of managerial and financial accounting 9 (2017) 3, pp. 242-262

Persistent link: https://www.econbiz.de/10011847010

Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements : evidence from Central Europe

Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Managerial economics 17 (2016) 2, pp. 217-240

Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of …

Persistent link: https://www.econbiz.de/10011736959

Market makers V's the general public : a first look at S&P500 futures trade data

Gannon, Gerard L. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003794270

The CAN-SPAM Act of 2003 and stock spam emails

Hu, Bill; McInish, Thomas H.; Zeng, Li - In: Financial services review : the journal of individual … 18 (2009) 1, pp. 87-104

Persistent link: https://www.econbiz.de/10003860707

Intraday characteristics of stock price crashes

Ammann, Manuel; Kessler, Stephan - In: Applied financial economics 19 (2009) 13/15, pp. 1239-1255

Persistent link: https://www.econbiz.de/10003886042

Intra-day characteristics of stock price crashes

Ammann, Manuel; Kessler, Stephan - 2009 - Nov. 2009

Persistent link: https://www.econbiz.de/10003905956

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