Exploring the relation between realised volatility and Trading volume: Evidence from international stock market
Samuel Tabot Enow
Abstract:The sequential information theory and mixed distribution hypothesis contends that there exists a bi-directional relation between realised volatility and trading volume. This position has led to the proposition that new information spreads sequentially and reaches market participants and investors at varying times. The purpose of this study was to re-examine these theories using the most recent data. A Granger causality test, Mean Square Error and Mean Average error models where applied to investigate the relat… Show more
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