New evidence on the relation between return volatility and trading volume

DOI10.1002/FOR.1151zbMATH Open1204.91087OpenAlexW3122824131MaRDI QIDQ3065535FDOQ3065535

Authors: Thomas C. Chiang, Zhuo Qiao, Wing-Keung Wong 

Publication date: 6 January 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1151

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zbMATH Keywords

high frequency datatrading volumereturn volatilitynon-linear Granger causality

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A test for independence based on the correlation dimension
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Asset pricing for general processes
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• The pricing of options on assets with stochastic volatilities
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries

Cited In (15)

• Linear regression model with new symmetric distributed errors
• Title not available (Why is that?)
• The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
• Threshold linkages between volatility and trading volume: evidence from developed and emerging markets
• Multivariate causality tests with simulation and application
• Multivariate linear and nonlinear causality tests
• Do both demand-following and supply-leading theories hold true in developing countries?
• Durations, volume and the prediction of financial returns in transaction time
• Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
• Bad news and Dow Jones make the Spanish stocks go round
• Early News is Good News: The Effects of Market Opening on Market Volatility
• An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
• More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
• Dynamic relationship among intraday realized volatility, volume and number of trades
• Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia

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