Purpose – The purpose of the paper is to study the explainability of expected and unexpected trade volume and open interest as information flow, and the asymmetric effects of unexpected shocks to the information flow on volatility in Indian commodity markets. Design/methodology/approach –...

This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility...