During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This … paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that …. We analyze the volume-volatility relationship using IBM stocks data. In particular, we rely on the realized volatility …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …

exist. Concerning the controversial issues we find that (i) volatility effects depend on the existence of tax havens and on …

activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH … volume and volatility, but that a positive relationship exists between unexpected volume and volatility. On the contrary, the … expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be …

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on … the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns … volatility is estimated using a GARCH (1,1) model. Trading activity changes are observed by computing two negatively correlated …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

short sales implemented have not corrected the falls in quotations or the volatility. However, there is a significant …

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …