Liquidity matters after all: Asymmetric news and stock market volatility before and after the global financial crisis

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a significant part of volatility asymmetric behavior. In general, our results provide evidence in favor of the Mixture of Distribution Hypothesis (MDH). Our results contain significant policy implications for investors and regulatory authorities.