Gurgul, Henryk; Mestel, Roland; Syrek, Robert - In: Managerial Economics 13 (2013), pp. 21-44
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies … patterns of causal relationships between stock returns, realized volatility and expected and unexpected trading volume. There … is linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in …