In his seminal paper, Brooks argues that the relation between return volatility and trading volume can be both linear and nonlinear. Adopting both linear and nonlinear Granger causality tests, he shows that there exists both linear and nonlinear bi-directional causality between trading volumes...

The Efficient Market Hypothesis states that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear...