Return Volatility, Trading Imbalance and the Information Content of Volume

• المؤلفون الرئيسيون: WU, Chunchi, Xu, X.E.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2000
• الموضوعات: Business
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/845

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 information content of trades. These two information measures are shown to have a strong explanatory power for return vola...