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 …

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 …

The relations between volume, volatility, and market depth in eight physical and financial
futures markets are examined. Evidence suggests that linking volatility to total volume does …

We examine the dynamic relation between returns, volume, and volatility of stock indexes.
The data come from nine national markets and cover the period from 1973 to 2000. 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 …

The goal of this paper is to shed light on the relationship between volume and volatility.
More specifically, it aims to determine which component of trading volume (trade size or …

Purpose–The purpose of this paper is to examine the change in speed of dissemination of
order flow information on stock volatility of return in 79 traded companies at the Cairo and …

Despite the well known importance of volatility–volume relationship, there is a paucity of
research on this topic in emerging markets. We attempt to partially fill this gap by …

Trading volume reflects the supply and demand for a financial instrument. As such, the
recent research into volume as a measure of information liquidity needs, and speculative …

The rate of information flow into the market in generating market volatility has been a much
debated issue in the finance research. Moreover, since the rate of information cannot be …