Abstract
This paper investigates the impact of trading intensity and trading volume on return volatility using transaction data from the Tunis Stock Exchange. In our study, we find that long trade duration decreases stock return, supporting the assumption that periods of absence of trade are indicative of bad news. Our results reveal that contemporaneous total trading volume exerts a positive and greater effect on return volatility than trading intensity. In addition, the return volatility is found to be affected positively by both informed trading volume and bad news arrival.
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