XIAO, JINGLIANG; BROOKS, ROBERT D; WONG, WING-KEUNG - In: Annals of Financial Economics (AFE) 05 (2009) 01, pp. 0950005-1
This paper explores the relationship between volume and volatility in the Australian Stock Market in the context of a generalized autoregressive conditional heteroskedasticity (GARCH) model. In contrast to other studies who only examine the interaction of GARCH and volume effects on a small...