We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and … according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the … impulse originating from volatility of volume and open interest is low. …

volatility. Finally, we show that trading volume will be higher when textual sentiment is unusually high or low and when there …

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 …