This paper reviews previous and current research on the relation between price changes
and trading volume in financial markets, and makes four contributions. First, two empirical …

This paper reviews, synthesizes, and critiques the capital market literature examining trading
volume around earnings announcements and other financial reports. Our purposes are to …

Linear and nonlinear Granger causality tests are used to examine the dynamic relation
between daily Dow Jones stock returns and percentage changes in New York Stock …

The relations between volume, volatility, and market depth in eight physical and financial
futures markets are examined. Evidence suggests that linking volatility to total volume does …

In existing models of information acquisition, all informed investors receive their information
at the same time. This article analyzes trading behavior and equilibrium information …

This study provides evidence on joint characteristics of hourly common stock trading volume
and returns on the New York Stock Exchange. Average volume traded shows significant …

ABSTRACT A theory of trading volume is developed based on assumptions that market
agents frequently revise their demand prices and randomly encounter potential trading …

We examine the dynamic relation between returns, volume, and volatility of stock indexes.
The data come from nine national markets and cover the period from 1973 to 2000. The …

This paper examines the dynamic relations–causal relations and the sign and magnitude of
dynamic effects–between stock market trading volume and returns (and volatility) for both …

This study examines the association between trading volume at the time annual accounting
earnings are announced and (1) the unexpected earnings in those announcements, and (2) …