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Price variability, trading volume and market depth: evidence from the Australian futures market
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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The relationship between volume and price variability in futures markets
inferredcites →https://doi.org/10.1002/fut.3990010303openalex-snapshot
The relationship between volume and price variability in futures markets
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Generalized autoregressive conditional heteroskedasticity
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Modelling financial time series
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Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH
inferredcites →https://doi.org/10.1080/758518980openalex-snapshot
Autocorrelations, returns and Australian financial futures
inferredcites →https://doi.org/10.1093/rfs/3.1.77openalex-snapshot
Stock Volatility and the Crash of '87
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THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITY
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A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb00461.xopenalex-snapshot
Futures Trading and Volatility in the GNMA Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb03540.xopenalex-snapshot
An Equilibrium Model of Asset Trading with Sequential Information Arrival
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Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
inferredcites →https://doi.org/10.1142/9789812770851openalex-snapshot
Modelling Financial Time Series
inferredcites →https://doi.org/10.2307/1912002openalex-snapshot
The Price Variability-Volume Relationship on Speculative Markets
inferredcites →https://doi.org/10.2307/1912726openalex-snapshot
The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/1913889openalex-snapshot
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
inferredcites →https://doi.org/10.2307/2326280openalex-snapshot
A Model of Asset Trading Under the Assumption of Sequential Information Arrival
inferredcites →https://doi.org/10.2307/2329008openalex-snapshot
Futures-Trading Activity and Stock Price Volatility
inferredcites →https://doi.org/10.2307/2330874openalex-snapshot
The Relation Between Price Changes and Trading Volume: A Survey
inferredcites →https://doi.org/10.2307/2331149openalex-snapshot
Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Does Hidden Liquidity Harm Price Efficiency?
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Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
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Liquidity and Crises in Asian Equity Markets
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Depth Characteristics for the Electronic Futures Limit Order Book
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Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets
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A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets
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Market liquidity and depth on two different electronic trading systems
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Liquidity and Market Efficiency Before and After the Introduction of Electronic Trading at the Sydney Futures Exchange
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Trading activity and Nifty index futures volatility: an empirical analysis
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Stock return volatility and trading volume: evidence from the chinese stock market
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Asymmetry in the price–volume relation: evidence based on individual company stocks traded in an emerging stock market
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Volatility persistence and trading volume in an emerging futures market
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Intraday Volume-Volatility Dynamics in CSI 300 Futures Market
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The Research on the Return Volatility and the Relationship with Volumes in Shanghai Gold Market
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Determinants of the volatility of futures markets price returns: The case of Chinese wheat futures
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GARCH AND VOLUME EFFECTS IN THE AUSTRALIAN STOCK MARKETS
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A Influência das instituições financeiras sobre o mercado futuro de dólar
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Return, Volume and Volatility Relationship in Indian Stock Market: Pre and Post Rolling Settlement Analysis
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Price and Open Interest in Greek Stock Index Futures Market
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An Empirical Analysis of Linear and Non-Linear Dependence of Stock Prices and Trading Volume in Asia Pacific Stock Market
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Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility
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HİSSE SENEDİ PİYASALARINDA İŞLEM HACMİ VE VOLATİLİTE İLİŞKİSİ: KIRILGAN BEŞLİ EKONOMİLER ÜZERİNE BİR İNCELEME
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Three essays on hidden liquidity in financial markets
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Forecasting Futures Trading Volume for Cotton using Vector Auto Regression and ARIMA Model
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Trading Activities and the Volatility of Return on Malaysian Crude Palm Oil Futures
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Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models
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Price Volatility, Trading Activity and Market Depth: Evidence from Taiwan and Singapore Taiwan Stock Index Futures Markets
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