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| Tekijä: | Wu, C. Xu, X.E. |
| Otsikko: | Return volatility, trading imbalance and the information content of volume |
| Lehti: | Review of Quantitative Finance and Accounting
2000 : MAR, VOL. 14:2, p. 131-153 |
| Asiasana: | Information Trade Volatility |
| Kieli: | eng |
| Tiivistelmä: | In this paper the authors examine the relationship between volume and return volatility using the transaction data. They 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 volatility and contain incremental information about the asset values over and above that conveyed by the size and frequency of trades. |
SCIMA