Abstract
The sequential information theory and mixed distribution hypothesis contends that there exists a bi-directional relation between realised volatility and trading volume. This position has led to the proposition that new information spreads sequentially and reaches market participants and investors at varying times. The purpose of this study was to re-examine these theories using the most recent data. A Granger causality test, Mean Square Error and Mean Average error models where applied to investigate the relationship between realised volatility and trading volume for a sample of five international stock markets from March 5, 2018 to March 5, 2023. The findings of this study contradict the proposition put forth by the sequential information theory and mixed distribution hypothesis where no meaningful relationship was observed except for the CAC 40. Hence, new information rather filters through financial markets at the same time. The finding of this study maybe the explanation for the ever-increasing financial contagion between financial markets. DOI: 10.26905/jkdp.27i2.9777
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