The impact of information flows on market variables such as traded volume have been well documented in the literature. In this article, the issue as to whether trading volume in derivatives responds to information flows in the underlying asset is considered. Using Hong Kong individual stock...

A comprehensive examination is undertaken of Australian exchange rate data utilizing the ARCH family of models. Various econometric tests are performed in an attempt to identify the presence of ARCH effects in 21 daily Australian bilateral exchange rate series. Where appropriate, a number of...

This paper considers the ability of the power ARCH model to capture the stylized features of volatility in 17 heavily traded bilateral exchange rates. This power ARCH model nests a number of models from the ARCH family. The relative merits of these nested ARCH models can be considered using the...