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 …

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 show that the positive volatility-volume relation documented by numerous researchers
actually reflects the positive relation between volatility and the number of transactions. Thus …

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 takes a new look at the relation between volume and realized volatility. In
contrast to prior studies, we decompose realized volatility into two major components: a …

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 …

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 article reconsiders the relationship between stock return volatility and trading volume.
Based on the multi-factor stochastic volatility model for stock return, we suggest several …

The paper develops an empirical return volatility‐trading volume model from a
microstructure framework in which informational asymmetries and liquidity needs motivate …