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The dynamic relationship of volatility, volume, and market depth in currency futures markets
16 references·8 citing·45 second hop
The dynamic relationship of volatility, volume, and market depth in currency futures markets (1999)The dynamic relationship of volatility, v…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Stock Prices and Volume (1992)Stock Prices and VolumeStock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns (2023)The impacts of futures tradin…Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange (2019)Investors' Trading Behaviour …Speculative activity and returns volatility of Chinese agricultural commodity futures (2017)Speculative activity and retu…Excess Volatility as an Impediment for a Digital Currency (2017)Excess Volatility as an Imped…Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility (2009)Dual Long-Memory, Structural …An examination of the complementary volume–volatility information theories (2008)An examination of the complem…The effect of spot and futures trading on stock index market volatility: A nonparametric approach (2003)The effect of spot and future…Testing the mixture‐of‐distributions hypothesis using “realized” volatility (2003)Testing the mixture‐of‐distri…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? 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this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1986Stock return variances1,813 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited

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1994
Transactions, Volume, and Volatility
870 cited

Cited by

  • 2003Testing the mixture‐of‐distributions hypothesis using “realized” volatility64 cited
  • 2017Speculative activity and returns volatility of Chinese agricultural commodity futures48 cited
  • 2008An examination of the complementary volume–volatility information theories44 cited
  • 2017Excess Volatility as an Impediment for a Digital Currency38 cited
  • 2003The effect of spot and futures trading on stock index market volatility: A nonparametric approach36 cited
  • 2009Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility28 cited
  • 2019Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange27 cited
  • 2023The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns26 cited