This paper examines the roles of the number of trades, size of trades, and order imbalance (buyer- versus seller-initiated trades) in explaining the volatility–volume relation for a sample of NYSE and Nasdaq stocks. Our results reconfirm the significance of the size of trades, beyond that of the number of trades, in the volatility–volume relation on both markets. After controlling for the return impact of order imbalance, the volatility–volume relation becomes much weaker. For NYSE stocks, the order imbalance in large trade size categories affects the return more than in smaller size categories. For Nasdaq stocks, the largest return impact comes from the order imbalance in maximum-sized Small Order Execution System (SOES) trades.

Kalok Chan, Allaudeen Hameed, Wilson Tong, Profitability of Momentum Strategies in the International Equity Markets, The Journal of Financial and Quantitative Analysis, Vol. 35, No. 2 (Jun., 2000), pp. 153-172

We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed‐end country funds during the 1994 Mexican peso crisis. Peso exchange‐rate changes affect prices and trading volumes of Latin American equities, and some closed‐end fund behavior is consistent with “noise trader” theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell‐off of non‐Mexican securities or that other non‐Mexican trading patterns change at times of high peso news flow. Thus, the “Tequila Effect” is largely confined to price changes.