{"id":"https://openalex.org/W2021185372","doi":"https://doi.org/10.1016/j.gfj.2015.04.001","title":"Asymmetric information, volatility components and the volume\u2013volatility relationship for the CAC40 stocks","display_name":"Asymmetric information, volatility components and the volume\u2013volatility relationship for the CAC40 stocks","publication_year":2015,"publication_date":"2015-04-22","ids":{"openalex":"https://openalex.org/W2021185372","doi":"https://doi.org/10.1016/j.gfj.2015.04.001","mag":"2021185372"},"language":"en","primary_location":{"id":"doi:10.1016/j.gfj.2015.04.001","doi":"https://doi.org/10.1016/j.gfj.2015.04.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.gfj.2015.04.001","pdf_url":null,"source":{"id":"https://openalex.org/S150702451","display_name":"Global Finance Journal","issn_l":"1044-0283","issn":["1044-0283","1873-5665"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-1"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Global Finance Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5037621755","display_name":"Skander Slim","orcid":"https://orcid.org/0000-0001-6545-9435","observed_orcids":["https://orcid.org/0000-0001-6545-9435"]},"institutions":[{"id":"https://openalex.org/I8636806","display_name":"University of Sousse","ror":"https://ror.org/00dmpgj58","country_code":"TN","type":"education","lineage":["https://openalex.org/I8636806"]}],"countries":["TN"],"is_corresponding":true,"raw_author_name":"Skander Slim","raw_affiliation_strings":["Laboratory Research for Economy, Management and Quantitative Finance, Institute of High Commercial Studies, University of Sousse, Tunisia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratory Research for Economy, Management and Quantitative Finance, Institute of High Commercial Studies, University of Sousse, Tunisia","institution_ids":["https://openalex.org/I8636806"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5067185281","display_name":"Meriam Dahmene","orcid":"https://orcid.org/0000-0002-6762-0760","observed_orcids":["https://orcid.org/0000-0002-6762-0760"]},"institutions":[{"id":"https://openalex.org/I8636806","display_name":"University of Sousse","ror":"https://ror.org/00dmpgj58","country_code":"TN","type":"education","lineage":["https://openalex.org/I8636806"]}],"countries":["TN"],"is_corresponding":false,"raw_author_name":"Meriam Dahmene","raw_affiliation_strings":["Institute of High Commercial Studies, University of Sousse, Tunisia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of High Commercial Studies, University of Sousse, Tunisia","institution_ids":["https://openalex.org/I8636806"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5037621755"],"corresponding_institution_ids":["https://openalex.org/I8636806"],"apc_list":{"value":2860,"currency":"USD","value_usd":2860},"apc_paid":null,"fwci":2.5528,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.90581912,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"29","issue":null,"first_page":"70","last_page":"84"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7562999725341797,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7562999725341797,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.23409999907016754,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.003700000001117587,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volume-volatility-relationship","display_name":"volume-volatility relationship","score":0.9330000281333923},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.6140000224113464},{"id":"https://openalex.org/keywords/realized-volatility","display_name":"realized volatility","score":0.8109999895095825},{"id":"https://openalex.org/keywords/informed-trading","display_name":"informed trading","score":0.6179999709129333},{"id":"https://openalex.org/keywords/liquidity-trading","display_name":"liquidity trading","score":0.9269999861717224},{"id":"https://openalex.org/keywords/jump-volatility","display_name":"jump volatility","score":0.6000000238418579},{"id":"https://openalex.org/keywords/information-asymmetry","display_name":"information asymmetry","score":0.8349999785423279},{"id":"https://openalex.org/keywords/stock-return-volatility","display_name":"stock return volatility","score":0.4560000002384186}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8070058226585388},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.740200936794281},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.6620733141899109},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.6208670139312744},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.6044721007347107},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5824692249298096},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.5542296767234802},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5383347868919373},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.45790693163871765},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.44061216711997986},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.33815523982048035}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.gfj.2015.04.001","doi":"https://doi.org/10.1016/j.gfj.2015.04.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.gfj.2015.04.001","pdf_url":null,"source":{"id":"https://openalex.org/S150702451","display_name":"Global Finance Journal","issn_l":"1044-0283","issn":["1044-0283","1873-5665"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-1"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Global Finance Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1044028315000101","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":50,"referenced_works":["https://openalex.org/W1976913929","https://openalex.org/W1979150730","https://openalex.org/W1979986072","https://openalex.org/W1985808284","https://openalex.org/W1988135531","https://openalex.org/W2009909787","https://openalex.org/W2013498925","https://openalex.org/W2014715977","https://openalex.org/W2024130344","https://openalex.org/W2024282289","https://openalex.org/W2024834818","https://openalex.org/W2027874509","https://openalex.org/W2028995298","https://openalex.org/W2031796872","https://openalex.org/W2033815796","https://openalex.org/W2038295726","https://openalex.org/W2049239673","https://openalex.org/W2049801550","https://openalex.org/W2050031929","https://openalex.org/W2051235503","https://openalex.org/W2052379533","https://openalex.org/W2054793602","https://openalex.org/W2055214654","https://openalex.org/W2070183754","https://openalex.org/W2078837159","https://openalex.org/W2083993521","https://openalex.org/W2084898089","https://openalex.org/W2089488418","https://openalex.org/W2095911786","https://openalex.org/W2096669492","https://openalex.org/W2100746131","https://openalex.org/W2107472019","https://openalex.org/W2110348891","https://openalex.org/W2110752212","https://openalex.org/W2122733781","https://openalex.org/W2128262725","https://openalex.org/W2136215272","https://openalex.org/W2153146814","https://openalex.org/W2157403008","https://openalex.org/W2157495061","https://openalex.org/W2167759315","https://openalex.org/W2173200133","https://openalex.org/W2766052445","https://openalex.org/W3124190118","https://openalex.org/W3124304323","https://openalex.org/W3125143397","https://openalex.org/W3125722875","https://openalex.org/W3125931454","https://openalex.org/W3125987794","https://openalex.org/W4240112138"],"related_works":["https://openalex.org/W2599488866","https://openalex.org/W7096052960","https://openalex.org/W2095911786","https://openalex.org/W4395100705","https://openalex.org/W7099617461","https://openalex.org/W1809044460","https://openalex.org/W1967998645","https://openalex.org/W2219834247","https://openalex.org/W2031082732","https://openalex.org/W2997455386"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}