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Intraday volume and volatility relations with and without public news

Citations

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Cited by:

  1. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2020. "News and return volatility of Chinese bank stocks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 1095-1105.
  2. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Return volatility and trading volume of GameFi," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
  3. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
  4. Mohamed KHALED, 2018. "apport du biais d’excès de confiance à l’explication de la volatilité des rendements du marché des actions algérien," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 9(2), pages 36-46, December.
  5. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
  6. Mohamed KHALED, 2018. "L' apport du biais d’excès de confiance à l’explication de la volatilité des rendements du marché des actions algérien," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 9(2), pages 36-46, December.
  7. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
  8. Aman, Hiroyuki & Moriyasu, Hiroshi, 2017. "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 660-676.
  9. Humphery-Jenner, Mark L., 2011. "Optimal VWAP trading under noisy conditions," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2319-2329, September.
  10. Su, Yong-Chern & Huang, Han-Ching & Hsu, Ming-Wei, 2010. "Convergence to market efficiency of top gainers," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2230-2237, September.
  11. Stotz, Olaf & Georgi, Dominik, 2012. "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, Elsevier, vol. 21(4), pages 159-167.
  12. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, January.
  13. Kerr Hatrick & Mike So & S. Chung & R. Deng, 2011. "Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 291-317, September.
  14. Henryk Gurgul & Lukasz Lach & Tomasz Wójtowicz, 2016. "Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(2), pages 217-240.
  15. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
  16. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
  17. Zhang, Xiaotao & Liang, Junpeng & He, Feng, 2019. "Private information advantage or overconfidence? Performance of intraday arbitrage speculators in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  18. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
  19. Sibel ?EL?K, 2013. "New Evidence on the Relation between Trading Volume and Volatility," Business and Economic Research, Macrothink Institute, vol. 3(1), pages 176-186, June.
  20. Chou, Ke-Hsin & Day, Min-Yuh & Chiu, Chien-Liang, 2023. "Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 365-385.
  21. Chi Ming Ho, 2013. "Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 325-345, February.
  22. Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.
  23. Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
  24. Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
  25. Xu, Liao & Gao, Han & Shi, Yukun & Zhao, Yang, 2020. "The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 400-408.
  26. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.
  27. Hwang, Soosung & Cho, Youngha & Noh, Sanha, 2022. "The cost of overconfidence in public information," International Review of Financial Analysis, Elsevier, vol. 79(C).
  28. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
  29. Fung, Michael K. & Cheng, Louis T.W. & Shen, Jianfu, 2024. "Do media message receivers asymmetrically react to non-strategic and strategic media coverage? Evidence from Hong Kong," Research in International Business and Finance, Elsevier, vol. 70(PA).
  30. Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
  31. Ramzi Boussaidi, 2022. "Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3660-3678, July.
  32. Juan Pi??eiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.
  33. Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
  34. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
  35. Biswal, P.C. & Jain, Anshul, 2019. "Should central banks use the currency futures market to manage spot volatility? Evidence from India," Journal of Multinational Financial Management, Elsevier, vol. 52.
  36. Maki, Daiki, 2024. "Asymmetric effect of trading volume on realized volatility," International Review of Economics & Finance, Elsevier, vol. 94(C).
  37. Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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