Increased access to various kinds of consumer data has opened up new avenues of value
creation for companies, but it also poses new challenges. The proliferation of digital data …

This paper investigates the causal relations between stock return and volume based on
quantile regressions. We first define Granger non-causality in all quantiles and propose …

The understanding of complex systems has become a central issue because such systems
exist in a wide range of scientific disciplines. We here focus on financial markets as an …

This paper investigates whether the empirical linkages between stock returns and trading
volume differ over the fluctuations of stock markets, ie, whether the return–volume relation is …

This study investigated the asymmetric contemporaneous and lead-lag relationships
between return and trading volume as well as return volatility and volume on the Bitcoin …

Despite the ferocious rise of exchange-traded funds (ETFs), their impacts on market stability
are neither well understood nor uncontroversial. While the intermarket linkages between …

This study shows the relationship between the price impact of a trade and the duration
between trades by extending a trade indicator microstructure model. Using the intraday …

Previous studies on spillover effects in futures markets have so far confined themselves to
static analyses. In this study, we use a newly introduced spillover index to examine dynamic …

Abstract The European Union Emissions Trading Scheme is the key policy instrument of the
European Commission's Climate Change Program aimed at reducing greenhouse gas …

Utilizing a recently developed measure of investor sentiment based on a large sample of
news photos (ie Photo Pessimism), this paper examines the relation between investor …