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Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors

Xinyi, Liu; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496

Persistent link: https://www.econbiz.de/10009615667

Information Flow Dependence in Return and Trading Volume Across Different Stocks

Michaelsen, Markus - 2019

We develop a multivariate return and trading volume model, where each stock's system is driven by latent information arrivals in continuous time. The arrivals contain idiosyncratic and cross-relevant information, which provides both return and trading volume dependence. Conditional on the...

Persistent link: https://www.econbiz.de/10012890130

An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market

Naik, Pramod Kumar - 2013

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …

Persistent link: https://www.econbiz.de/10013078205

No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange

Krishnamurti, Chandrasekhar - 2014

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

Persistent link: https://www.econbiz.de/10013060597

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

Dynamic transmissions between main stock markets and SME stock markets : evidence from tropical economies

Nguyen, Trang; Chaiechi, Taha; Eagle, Lynne C.; Low, … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 308-324

Persistent link: https://www.econbiz.de/10012416910

Distillation of news flow into analysis of stock reactions

Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 547-563

Persistent link: https://www.econbiz.de/10011692403

The empirical investigation of causal relationship between intraday return and volume in Indian stock market

Sahota, Gurleen; Singh, Balwinder - In: Vision : the journal of business perspective 20 (2016) 3, pp. 199-210

Persistent link: https://www.econbiz.de/10011667354

Liquidity dynamics around jumps : the evidence from the Warsaw Stock Exchange

Będowska-Sójka, Barbara - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2740-2755

Persistent link: https://www.econbiz.de/10011675655

Ramadan effect on stock market return and trade volume : evidence from Dhaka Stock Exchange (DSE)

Hassan, Md. Hashibul; Kayser, Md. Shahidullah - In: Cogent economics & finance 7 (2019) 1, pp. 1-10

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

Persistent link: https://www.econbiz.de/10012023939