New evidence on the relation between return volatility and trading volume

DOI10.1002/FOR.1151MaRDI QIDQ3065535zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

high frequency datanon-linear Granger causalityreturn volatilitytrading volume

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A test for independence based on the correlation dimension
• Asset pricing for general processes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries
• Modeling and Forecasting Realized Volatility
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• 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

Cited in

(17)

• Do both demand-following and supply-leading theories hold true in developing countries?
• Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
• More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
• Early News is Good News: The Effects of Market Opening on Market Volatility
• scientific article; zbMATH DE number 5726501 (Why is no real title available?)
• An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
• Linear regression model with new symmetric distributed errors
• MARGIN-TRADING ACTIVITIES AND FUTURE STOCK RETURNS: NEW EVIDENCE FROM NONLINEAR ANALYSIS
• Multivariate causality tests with simulation and application
• Durations, volume and the prediction of financial returns in transaction time
• Threshold linkages between volatility and trading volume: evidence from developed and emerging markets
• Multivariate linear and nonlinear causality tests
• Dynamic relationship among intraday realized volatility, volume and number of trades
• Portfolio selection based on mean-generalized variance analysis: evidence from the G20 stock markets
• Bad news and Dow Jones make the Spanish stocks go round
• Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia
• The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets

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