Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model
Sign Up to like & getrecommendations! Published in 2019 at "DECISION"
DOI: 10.1007/s40622-019-00218-5
Abstract: Abstract The study explored a vital issue on market microstructure that is the relationship between volatility, index returns and trading volume within the Indian stock market. The daily closing prices of select indices, from 2… read more here.
Keywords: volatility; relationship; volume; trading volume ... See more keywords
Market uncertainty and trading volume around earnings announcements
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DOI: 10.1016/j.frl.2019.03.002
Abstract: Abstract This study examines the changes in trading volume around quarterly earnings announcements in regard to market uncertainty. When market conditions are volatile, investors face difficulty in predicting future cash flows and their beliefs are… read more here.
Keywords: earnings announcements; trading volume; market; volume around ... See more keywords
A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101603
Abstract: Abstract Guided by a price-volume probability wave differential equation in a new mathematical method, we study intraday market dynamic equilibrium in stock market. We select intraday cumulative trading volume distribution over a price range as… read more here.
Keywords: differential equation; price volume; volume; dynamic equilibrium ... See more keywords
Expected return, volume, and mispricing
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DOI: 10.1016/j.jfineco.2021.05.014
Abstract: Abstract We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading… read more here.
Keywords: return volume; volume; expected return; trading volume ... See more keywords
The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets
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DOI: 10.1016/j.resourpol.2018.02.005
Abstract: Abstract In this paper, we investigate the role of open interest, trading volume and trading positions of trader groups on volatility spillover between futures and spot markets of two major commodities; oil and gold during… read more here.
Keywords: open interest; volatility; trading volume;
The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin
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DOI: 10.1016/j.techfore.2021.120851
Abstract: Abstract Stablecoins are digital currencies that peg to non-volatile values, most commonly a fiat currency. Unlike fiat currency, stablecoins are fully transparent—every transfer is recorded on a public blockchain. In this regard, they can serve… read more here.
Keywords: transparent money; trading; stablecoin transfers; trading volume ... See more keywords
Volatility–volume relationship of Chinese copper and aluminum futures market
Sign Up to like & getrecommendations! Published in 2018 at "Transactions of Nonferrous Metals Society of China"
DOI: 10.1016/s1003-6326(18)64908-8
Abstract: Abstract Following Bessembinder and Seguins, trading volume is separated into expected and unexpected components. Meanwhile, realized volatility is divided into continuous and discontinuous jump components. We make the empirical research to investigate the relationship between… read more here.
Keywords: volume; volatility; copper aluminum; trading volume ... See more keywords
Forecasting trading volume in local housing markets through a time-series model and a deep learning algorithm
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DOI: 10.1108/ecam-10-2020-0850
Abstract: PurposeIt is important to forecast local trading volumes as well as global trading volumes because the real estate market is always characterized as a localized market. The house trading volume at the local level is… read more here.
Keywords: volume local; trading; time series; model ... See more keywords
An in-depth examination of trading volume and return volatility dynamics
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DOI: 10.1108/mf-02-2025-0057
Abstract: PurposeThis study investigates the relationship between return volatility and the trading volume for DJIA and the S&P 500 indices using intraday, overnight and daily volatility measures.Design/methodology/approachThis paper uses several volatility measures, including overnight (close to… read more here.
Keywords: depth examination; volatility; trading volume; return volatility ... See more keywords
Anonymous Trading in Equities
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DOI: 10.1111/jofi.12988
Abstract: I explore a reform at the Oslo Stock Exchange to assess the causal effect of trader anonymity on liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction… read more here.
Keywords: increase trading; trading equities; trading; trading volume ... See more keywords
Impact of the twin pandemics: COVID-19 and oil crash on Saudi exchange index
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DOI: 10.1371/journal.pone.0268733
Abstract: This study aims to explore the effects of COVID-19 indicators and the oil price crash on the Saudi Exchange (Tadawul) Trading Volume and Tadawul Index (TASI) for the period from January 1, 2020, to December… read more here.
Keywords: effect; oil; trading volume; repo ... See more keywords