Dynamic relationship between volume and volatility in the Chinese stock market: evidence from the MS-VAR model-Reference-Cited by-同舟云学术

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Dynamic relationship between volume and volatility in the Chinese stock market: evidence from the MS-VAR model

Published:2024-03 Issue:1 Volume:7 Page:17-24
ISSN:2666-7649
Container-title:Data Science and Management
language:en
Short-container-title:Data Science and Management

Author:

Zhang Feipeng,Zhang Yilin,Xu Yixiong^ORCID,Chen Yan^ORCID

Publisher

Elsevier BV

Subject

Management Science and Operations Research,Information Systems and Management,Information Systems,Computer Science Applications,Artificial Intelligence,Management Information Systems

Reference56 articles.

1. The relationship between trading volume and market returns: a VAR/Granger causality testing approach in the context of Saudi Arabia;Alhussayen;Organ. Mark. Emerg. Econ.,2022

2. Can volume predict Bitcoin returns and volatility? A quantiles-based approach;Balcilar;Econ. Modell.,2017

3. Price volatility, trading volume, and market depth: evidence from futures markets;Bessembinder;J. Financ. Quant. Anal.,1993

4. Market statistics and technical analysis: the role of volume;Blume;J. Finance,1994

5. Trading volume and the predictability of return and volatility in the cryptocurrency market;Bouri;Finance Res. Lett.,2019

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1. Social media information diffusion and excess stock returns co-movement;International Review of Financial Analysis;2024-01

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