A brief literature review
The study of the relationship between information flow and volatility has always been
an area of research. Some of the recent studies include those of Foster (1995), Fujihara
and Mougoue (1997) and Girma and Mougoue (2002)who found a positive relationship
between trading volume and volatility in light crude oil, heating oil and unleaded
gasoline for the period from 1984 to 1993.