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The Dynamic Relation Between Returns, Trading Volume, and Volatility : Lessons from Spillovers Between Asia and the U.S

Gebka, Bartosz - 2011

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find cross-border spillovers in returns to be nonexistent, spillovers in absolute returns between Asia and the US to be strong in both directions,...

Persistent link: https://www.econbiz.de/10013127784

The dynamic relation between returns, trading volume, and volatility : lessons from spillovers between Asia and the United States

Ge̜bka, Bartosz - In: Bulletin of economic research 64 (2012) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10009488143

Have the GIPSI settled down? : breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Ge̜bka, Bartosz; Karoglou, Michail - In: Journal of banking & finance 37 (2013) 9, pp. 3639-3653

Persistent link: https://www.econbiz.de/10010126309

Leaders and laggards : international evidence on spillovers in returns, variance, and trading volume

Ge̜bka, Bartosz (contributor) - 2006

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions,...

Persistent link: https://www.econbiz.de/10003314404