This paper examines volume and volatility dynamics by accounting for market activity
measured by the time duration between two consecutive transactions. A time-consistent …

This paper examines the dynamic relationship of volatility and trading volume using a
bivariate vector autoregressive methodology. This study found bidirectional causal relations …

This paper re-examines the impact of number of trades, trade size and order imbalance on
daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using …

In this article, we examine the relation between return volatility, average trade size, and the
frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson …

In this paper, we examine the relationship between volume and return volatility using the
transaction data. We introduce transaction and volume imbalance measures to capture the …

This paper examines the relationship among daily information flow, return volatility, and bid‐
ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The …

Assuming that the variance of daily price changes and trading volume are both driven by the
same latent variable measuring the number of price-relevant information arriving on the …

We study the volume–volatility relation by splitting volume into the number of trades and the
average trade size at individual and institutional level, and realized volatility into its …

We investigate the relation between volatility and volume in 22 developed markets and 27
emerging markets. Compared to developed markets, emerging markets show a greater …

This paper investigates the information content of trading volume and its relationship with
range-based volatility in the Indian stock market for the period 1995–2007. We examine the …