We use a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of regularities in the pattern of daily returns and volatility...

This study investigates the dynamic relationship between stock return volatility and trading volume for individual stocks listed on the Chinese stock market as well as market portfolios of these stocks. We found that the inclusion of trading volume, which is used as a proxy of information...

We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...

We examine the effects of thin trading on the specification of event study tests. Simu-lations of upper and lower tail tests are reported with and without variance increases on the event date across levels of trading volume. The traditional standardized test is mis-specified for thinly traded...

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used,...

This paper explores the role of private information on idiosyncratic return variation. We suggest that there is a significant positive relationship between informed trade and firm-specific return variation. Using the probability of information-based trading (PIN) as a measure of informed trade,...

This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with sequential information arrival hypothesis that...

This paper provides the first evidence for empirical sensitivity of trading volume to human psychological factors. We review therefore extensive evidence about how human psychology affects investor behavior and trading volume. Using the data for individual stocks listed on the CAC40 Stock Market...