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- W2023837515 abstract "Abstract We investigate the relation between volatility and volume in 22 developed markets and 27 emerging markets. Compared to developed markets, emerging markets show a greater response to large information shocks and exhibit greater sensitivity to unexpected volume. We find a negative relation between expected volume and volatility in several emerging markets, which can be attributed to the relative inefficiency in those markets. Previous research reports that the persistence in volatility is not eliminated when lagged or contemporaneous trading volume is considered. Our findings show that, when volume is decomposed into expected and unexpected components, volatility persistence decreases." @default.
- W2023837515 created "2016-06-24" @default.
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- W2023837515 date "2007-08-01" @default.
- W2023837515 modified "2023-10-15" @default.
- W2023837515 title "Trading Volume and Market Volatility: Developed versus Emerging Stock Markets" @default.
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- W2023837515 doi "https://doi.org/10.1111/j.1540-6288.2007.00178.x" @default.
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