The present paper investigates the causal link between returns and volume in
cryptocurrency markets. Relative to earlier empirical studies on the topic, it employs a …

This paper investigates both the extreme dependence and correlation between high
frequency cryptocurrency (Bitcoin and Ethereum, versus the Euro and US Dollar) returns …

The decentralised finance sector has recently experienced a surge in popularity, and has
emerged from the shadows of the cryptocurrency space. Although the purposes of the …

This paper examines whether trading activity conveys valuable information about changes
in market volatility dynamics. We use a modelling framework, in which the market smoothly …

A copula approach is used to examine the extreme return–volume relationship in six
emerging East-Asian equity markets. The empirical results indicate that there is significant …

This paper reconsiders return-volume dependence for the US and six international equity
markets. We contribute to previous work by proposing surprise volume as a new proxy for …

This article develops theoretical insight into the threshold effect in expected volatility, which
means that large shocks are less persistent in volatility than small shocks. The model uses …

Using a dataset on local banks' daily FX transaction volume segregated into counterparty
and transaction types, this article investigates the relationship between trading volume and …

Using daily data for eight major cryptocurrencies and bivariate extreme value theory (peaks-
over-threshold method), this study examines the extreme dependence between returns and …

The influence of economic policy uncertainty on stock market liquidity? The mediating role of
investor sentiment | Emerald Insight Books and journals Case studies Expert Briefings Open …