We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

We examine the global financial crisis (GFC), European sovereign debt crisis (SDC), gold market crash (GMC), and COVID-19 crisis to determine whether exchange rates similarly impacted gold prices during crises between May 2007 and May 2021. We find the following: (1) Exchange rates predominantly...

This paper investigates the relationship between oil and airline stock returns under different time frequencies. First, we propose an Autoregressive moving average model with mixed frequency exogenous variable to analyse the different impacts of oil on airline stock returns on daily, weekly, and...