We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and … according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the … impulse originating from volatility of volume and open interest is low. …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume …

We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE … trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When … volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results …