Brüggemann, Ralf; Glaser, Markus; Schaarschmidt, Stefan; … - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014
We investigate non-linearities in the stock return - trading volume relationship by using daily data for 16 European … have a significant influence on trading volume, but there is no evidence for the influence of trading volume on returns …. Our analysis indicates that responses of trading volume to return shocks are non-linear and the sign of the response …