Search Results - subject:"volume-volatility relation"

An information theoretic analysis of stock returns, volatility and trading volumes

Ong, Marcus Alexander - In: Applied economics 47 (2015) 34/36, pp. 3891-3906

Persistent link: https://www.econbiz.de/10011294307

Volume and Volatility in the FX Market: Does It Matter Who You Are?

Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon - 2003

The relationship between volume and volatility has received much attention in the literature on financial markets. However, due to the lack of data, few results have been presented for the foreign exchange (FX) market. Furthermore, most studies contain only aggregate series, and cannot...

Persistent link: https://www.econbiz.de/10012143610

Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets

Naes, Randi; Skjeltorp, Johannes A. - Norges Bank - 2003

We examine the volume-volatility relation using detailed data from a limit order driven equity market. Estimates of the …

Persistent link: https://www.econbiz.de/10005063080

Volume and Volatility in the FX Market: Does it matter who you are?

Bjonnes, Geir Hoidal; Rime, Dagfinn; Solheim, Haakon O. Aa. - Norges Bank - 2003

Persistent link: https://www.econbiz.de/10005063108

Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks

Tekaya, Rim; Jouaber, Kaouther - Université Paris-Dauphine (Paris IX) - 2010

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility … the underlying stock volume- volatility relation. This better adjustment to new information is observable jointly on … relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes …

Persistent link: https://www.econbiz.de/10010707501

Volume and Volatility in the FX-Market: Does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon O. Aa. - 2002

The relationship between volume and volatility has received much attention in the the literature of financial markets. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies contain only aggregate series, and can not distinguish...

Persistent link: https://www.econbiz.de/10010315403

Volume and Volatility in the FX-Market: Does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon O. Aa. - CESifo - 2002

Persistent link: https://www.econbiz.de/10005766027

Volume and volatility in the FX-market : does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002

Persistent link: https://www.econbiz.de/10011539127

Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks.

Tekaya, Rim; Jouaber, Kaouther - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10008690913