Bagchi, Debasis; Lee, Changjun; Ryu, Doojin - In: Afro-Asian Journal of Finance and Accounting 3 (2013) 3, pp. 258-273
Most previous studies examine the relationship between stock market returns and volatility using low frequency data such as daily or weekly basis. In this study, using the high frequency intraday data, we expand the scope of prior studies to investigate the relationship of short-term changes of...