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Does Trading Volume Really Explain Stock Returns Volatility ?

Author

Listed:
  • T. Ane

    (LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • L. Ureche-Rangau

    (LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • T. Ane & L. Ureche-Rangau, 2008. "Does Trading Volume Really Explain Stock Returns Volatility ?," Post-Print hal-00260668, HAL.
    • Handle: RePEc:hal:journl:hal-00260668
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    Citations

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    Cited by:

    1. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    2. Esqueda, Omar A. & Assefa, Tibebe A. & Mollick, André Varella, 2012. "Financial globalization and stock market risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 87-102.
    3. Müller, Christian, 2015. "Radical uncertainty: Sources, manifestations and implications," Economics Discussion Papers 2015-41, Kiel Institute for the World Economy (IfW Kiel).
    4. Fernandez Viviana, 2011. "Alternative Estimators of Long-Range Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-37, March.
    5. You-How Go & Wee-Yeap Lau, 2020. "Does Trading Volume explain the Information Flow of Crude Palm Oil Futures Returns?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(2), pages 115-136, December.
    6. Fernandez, Viviana, 2009. "The behavior of stock returns in the mining industry following the Iraq war," Research in International Business and Finance, Elsevier, vol. 23(3), pages 274-292, September.
    7. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan & Vo, Xuan Vinh, 2023. "Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?," Journal of Financial Stability, Elsevier, vol. 65(C).
    8. Christian, Mueller-Kademann, 2009. "Puzzle solver," MPRA Paper 19852, University Library of Munich, Germany.
    9. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    10. Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, vol. 35(4), pages 276-282, December.
    11. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
    12. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, 2009. "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
    13. Carroll, Rachael & Kearney, Colm, 2015. "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 1-14.
    14. Brajesh Kumar, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
    15. Loredana Ureche-Rangau & Fabien Collado & Ulysse Galiay, 2011. "The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets," Economics Bulletin, AccessEcon, vol. 31(3), pages 2569-2583.
    16. Jawadi Fredj & Ureche-Rangau Loredana, 2013. "Threshold linkages between volatility and trading volume: evidence from developed and emerging markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 313-333, May.

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