Return–volume nexus in financial markets: A survey of research

Ehab Yamani

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: This paper provides a systematic review of the return–volume literature, broadly defined to include theoretical and empirical research relating to the intramarket and cross-market interlinkages between security return and trading volume characteristics in four financial markets, namely, the stock, bond, foreign exchange, and futures markets. Viewed through this lens, this paper attempts to review previous empirical research within a unified theoretical framework that relates the interlinkages between return and volume characteristics in various financial markets. Overall, this paper marks several interesting areas of debate and controversy based on several controversial theories and empirical findings in the literature, suggesting directions for future research.

Keywords: Systematic review; Price; Return; Trading volume; Volatility (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363

DOI: 10.1016/j.ribaf.2023.101910

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