Exploring the Relationship of Volume, Volatility, and Return Nexus in Global Financial Markets.

This article examines the interrelationship between trading volume, volatility, and returns across global financial markets, with a comparative analysis of developed and emerging economies. Employing advanced techniques, including the Isolation Forest algorithm, we identify significant anomalies during major crises, such as the 2008 global financial crisis and the COVID-19 pandemic, highlighting the clustering of market disruptions. The findings reveal that developed markets rapidly absorb shocks, supporting the Efficient Market Hypothesis, whereas emerging markets exhibit persistent volatility, consistent with volatility clustering theories. Impulse Response Function analysis demonstrates varied shock absorption dynamics, and Granger causality tests indicate bidirectional causality between volume, volatility, and returns in developed markets, contrasting with volume-driven causality patterns in emerging economies. The study contributes to financial theory by integrating anomaly detection into the analysis of financial time series and advancing the understanding of market efficiency and structural differences across regions. Practical implications include recommendations for enhancing market oversight, especially in emerging markets, where liquidity-sensitive policies and structural reforms are needed to bolster resilience against external shocks. The insights provide actionable guidance for regulators, investors, and policymakers navigating global market risks. [ABSTRACT FROM AUTHOR]