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 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 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 study investigates the relationship between daily returns and trading volume for 30
stocks included in the Istanbul Stock Exchange National-30 index. Study findings reveal that …

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 …

This paper investigates the volume-return volatility relationship for 25 individual stocks in the
Turkish stock market, using daily data for the period 1998-2005. The results indicate that …

Based on the 'mixture of distribution'hypothesis, this paper investigates the relationship
between trading volume and conditional volatility of returns by using 12 emerging stock …

The issue of stock volatility on stock return has gained a tremendous attention among
academics and practitioner alike as this reflects behaviour of market microstructure …

We examine the relation between trading volume and associated CBOE's implied volatility in
commodity ETFs, stock market indices, and stock market index ETFs by employing a new …

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 …