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Directional predictability between trading volume and price returns in the agricultural futures markets : risk implications for traders
Panagiotou, Dimitrios; Tseriki, Alkistis - In: The journal of risk finance : JRF 23 (2022) 3, pp. 264-288
Persistent link: https://www.econbiz.de/10013370546
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Volatility transmissions across international oil market, commodity futures and stock markets : empirical evidence from China
Ahmed, Abdullahi Dahir; Huo, Rui - In: Energy economics 93 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012631345
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Return and volatility spillover effects in agricultural commodity markets
Bernhardt, Matthias - 2017
risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in …This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …
Persistent link: https://www.econbiz.de/10011761782
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The dark side of trading
Dichev, Ilia D.; Huang, Kelly; Zhou, Dexin - In: Journal of accounting, auditing & finance 29 (2014) 4, pp. 492-518
Persistent link: https://www.econbiz.de/10010425512
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A pragmatic evaluation of the interconnection between currency futures return volatility, open interest and volume
Devan, Karthika P.; Johnson, Johney - In: Theoretical and applied economics : GAER review 28 (2021) 1/626, pp. 289-296
Persistent link: https://www.econbiz.de/10012693265
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Stock market visualization
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 35-140
Persistent link: https://www.econbiz.de/10012229145
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Does trading volume drive systemic banks' stock return volatility? : lessons from the Greek banking system
Tsagkanos, Athanasios; Gillas, Konstantinos Gkillas; … - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13
The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume …
Persistent link: https://www.econbiz.de/10012509058
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Risk-return trade-off and serial correlation : do volume and volatility matter?
Kinnunen, Jyri - In: Journal of financial markets 20 (2014), pp. 1-19
Persistent link: https://www.econbiz.de/10010442399
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Stock returns, trading volume, and volatility : the case of African stock markets
Ngene, Geoffrey M.; Mungai, Ann Nduati - In: International review of financial analysis 82 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013426476
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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221