Download or read book An Empirical Analysis of Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of Trading Volume on Stock Return Distributions written by Tom Berglund and published by . This book was released on 1990 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Information Content of Trading Volume written by Donald J. Gorczyca and published by . This book was released on 1993 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Analysis on the Dynamic Relationship Between FII Trading Volume Nifty Returns written by Dr.Lakshmi P. and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines the relationship between trading volume of FII flows and volatility of stock returns. The contemporaneous correlation and asymmetry between NIFTY returns and FII trading volume is studied through OLS. There is evidence for positive contemporaneous correlation between returns and volume. The relationship between conditional volatility and volume is investigated through GARCH model by introducing volume as an explanatory variable in the GARCH equation. The results indicate that GARCH effect is reduced only to a negligible level by the inclusion of trading volume of FIIs as an explanatory variable. This implies that FIIs influence towards persistence of volatility is very low and there may be other factors responsible for the same.

Download or read book An Empirical Analysis of Equity Prices and Trading Volume written by David Sean Bromley and published by . This book was released on 1990 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

Download or read book The Empirical Relationship between Stock Returns Return Volatility and Trading Volume in the Brazilian Stock Market written by Otavio Ribeiro de Medeiros and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the empirical relationship between stock returns, return volatility and trading volume using data from the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH modeling, VAR modeling, and Granger causality tests. We find support for a contemporaneous as well as dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. On the other hand, our results indicate that there is a contemporaneous and dynamic relationship between return volatility and trading volume. Additionally, by applying Granger's test for causality, we find that return volatility contains information about upcoming trading volume and vice versa.

Download or read book The Empirical Analysis of Liquidity written by Craig Holden and published by Now Publishers. This book was released on 2014-11-28 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.

Download or read book Volume and the Nonlinear Dynamics of Stock Returns written by Chiente Hsu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4.

Download or read book An Empirical Research of Stock Prices and Trading Volumes written by Meng Rui and published by . This book was released on 1997 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Analysis of the Weak form Efficiency of Stock Markets written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.

Download or read book An Empirical Analysis of the Effects of Online Trading on Stock Price and Trading Volume Reactions to Earnings Announcements written by Anwer S. Ahmed and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides evidence on the effects of online trading on stock price and trading volume reactions to quarterly earnings announcements. We test for differences in stock price and volume reactions to quarterly earnings announcements between a period with a significant amount of online trading (1996-1999) and a period without online trading (1992-1995). We conjecture that online trading has increased the proportion of naive investors in the market. We predict that this will result in (i) a decrease in the average precision of investor information prior to earnings announcements implying higher ERCs, (ii) an increase in differential interpretation of earnings leading to higher trading volume reactions that are unrelated to price change, and (iii) a decrease in differential prior precision leading to a decrease in the association between trading volume and absolute price change. We find evidence consistent with all three predictions. Our findings are relevant for assessing the validity of concerns about online trading expressed by regulators and the validity of theoretical models of trade with asymmetrically informed investors.

Download or read book Empirical Analysis of Stock Return and Volatility Spillovers written by and published by . This book was released on 2008 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamics of Trading Volume and Stock Returns written by Manik Lakhani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This project intends to study the relationship between stock returns and their trading volume and to test the causality effects. It focuses on the 50 stocks of CNX Nifty which is a value-weighted stock index of National Stock Exchange of India. Three proxies of trading volume namely, numbers of transactions, total traded quantity (volume) and total Rupee value of the traded quantity (turnover) have been taken and the asymmetry in the relationship of returns and volume is tested through regression. The study also tries to find the best proxy for volume through granger causality. The results indicate that there is asymmetry in the relation between returns and volume and the best proxy of the volume is the turnover or the value of shares traded.

Download or read book Can Stock Trading Volume Explain Return Autocorrelation Empirical Evidence from the Egyptian Securities Exchange written by Ehab Abdel-Tawab Yamani and published by . This book was released on 2018 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relation between stock returns and trading volume (as measured by turnover) in a small emerging market, i.e., the Egyptian Securities Exchange (ESE). We are interested in examining the power of stock trading volume in predicting future return. To this end, we use a version of GARCH model and Granger causality test to measure the correlation and causality relation between trading volume and stock return, respectively. The results show that trading volume data plays no role in predicting stock return autocorrelation.

Download or read book An Empirical Analysis of the Relation between Option Market Liquidity and Stock Market Activity written by Iskra Kalodera and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate the relation between daily activity in the underlying stock and option liquidity for firms included in the German DAX index and with options traded on the electronic exchange EUREX. By means of regression analyses we identify the major determinants of transaction-based and order-based option liquidity. We find that the transaction volume of the underlying stock is indeed a major determinant of transaction-based liquidity in the options market, whereas contrary to standard intuition, return volatility does not consistently exhibit a significant impact. On the other hand short-term measures of uncertainty, represented by the positive and negative parts of stock returns and their lagged values, are important explanatory factors. Order-based liquidity seems to be harder to model than transaction-based liquidity. The negative return part is a common factor influencing both spread and depth variables, while volatility overall significantly increases option market depth. As an important contribution to the empirical literature on option market liquidity, we provide separate regressions for buyer and seller initiated transactions. It becomes clear that especially the relation between stock returns and transaction-based liquidity is asymmetric with respect to option purchases and sales. Call purchases increase with positive returns and decrease on days with negative returns, while put purchases behave exactly the opposite way. However, both call and put sales increase on days with large positive or negative returns.