This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset … volatility of intraday returns. Our results also show that the persistence in volatility remains in the intraday return series … as an information variable has quite a limited effect on the volatility of intraday returns in the Shanghai stock market …

This paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock … from 1 July 2004 to 3 September 2008. Granger causality test was used to explore whether return causes volume or volume … causes return. The empirical results of Granger causality tests reveal that returns lead volume in five markets out of the …

arrival hypothesis (SIAH). Through this study, we especially aim to test the volatility persistence degree without volume …This paper empirically examines the relationship between trading volume and conditional volatility of returns in the …. Firstly, we confirm the strong positive relationship between trading volume and returns conditional volatility issued from …

This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive … methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with … current volatility. Findings also reveal that trading volume shocks significantly contribute to the variability of volatility …

and between volatility and returns. We have used the vector autoregression based Granger causality framework to examine … trading volume Granger does not cause returns and volatility and suggests that there is unidirectional causality from returns … the linear causality, while the non-linear causality have been investigated using bivariate noisy Macke-Glass model which …

daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market … have additional effects on the volatility of stock returns for the majority of the Hang Seng Index component stocks. On the … other hand, over a longer horizon, an increase in volatility is observed despite a decline in trading volume. Our results …