Download or read book Essays on Stock Trading Volume Volatility and Information written by Hanfeng Wang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay we find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. This pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t
Download or read book Essays on Stock Trading Volume Volatility and Information written by Hanfeng Wang (Ph. D.) and published by . This book was released on 2007 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Price Volatility and Trading Volume in Financial Markets written by Percy Siuping Poon and published by . This book was released on 1989 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Price Volatility and Trading Volume written by Sanjiv Bhatia and published by . This book was released on 1993 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Impact of Investors Speculation and Disagreements on Security Prices and Trading Volume written by Siu Kai Choy and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Momentum Autoregressive Returns and Conditional Volatility Evidence from the Saudi Stock Market written by Abdullah Alsubaie and published by . This book was released on 2007 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines the relationship between abnormal changes in trading volume of both firms and portfolio levels, and the short-term price autoregressive behavior in the SSM. The objective is to investigate the informational role that trading volume plays in predicting the direction of short-term returns. I evaluate whether the abnormal change in lagged, contemporaneous, and lead turnover affects serial correlation in returns. Consistent with the prediction of Campbell, Grossman, and Wang (1993) model, the result of this essay indicates that lagged abnormal change in trading volume lead to reversal in consecutive weekly returns. Contemporaneous and lead changes in volume provide mixing results.
Download or read book Three Essays on Stock Market Volatility written by Chengbo Fu and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on stock market volatility. In the first essay, we show that investors will have the information in the idiosyncratic volatility spread when using two different models to estimate idiosyncratic volatility. In a theoretical framework, we show that idiosyncratic volatility spread is related to the change in beta and the new betas from the extra factors between two different factor models. Empirically, we find that idiosyncratic volatility spread predicts the cross section of stock returns. The negative spread-return relation is independent from the relation between idiosyncratic volatility and stock returns. The result is driven by the change in beta component and the new beta component of the spread. The spread-relation is also robust when investors estimate the spread using a conditional model or EGARCH method. In the second essay, the variance of stock returns is decomposed based on a conditional Fama-French three-factor model instead of its unconditional counterpart. Using time-varying alpha and betas in this model, it is evident that four additional risk terms must be considered. They include the variance of alpha, the variance of the interaction between the time-varying component of beta and factors, and two covariance terms. These additional risk terms are components that are included in the idiosyncratic risk estimate using an unconditional model. By investigating the relation between the risk terms and stock returns, we find that only the variance of the time-varying alpha is negatively associated with stock returns. Further tests show that stock returns are not affected by the variance of time-varying beta. These results are consistent with the findings in the literature identifying return predictability from time-varying alpha rather than betas. In the third essay, we employ a two-step estimation method to separate the upside and downside idiosyncratic volatility and examine its relation with future stock returns. We find that idiosyncratic volatility is negatively related to stock returns when the market is up and when it is down. The upside idiosyncratic volatility is not related to stock returns. Our results also suggest that the relation between downside idiosyncratic volatility and future stock returns is negative and significant. It is the downside idiosyncratic volatility that drives the inverse relation between total idiosyncratic volatility and stock returns. The results are consistent with the literature that investor overreact to bad news and underreact to good news.
Download or read book Three Essays on the Information Content of Stock Options written by Zekun Wu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that explore the information content embedded in equity options. The results improve our understanding of the cross-section of option returns, informed trading in the options market, and the industry effect of IPOs. In the first essay, we study the relation between option-implied skewness (IS) and the crosssection of option returns under daily hedging to better understand skewness pricing in isolation from lower moments. Creating portfolios of delta-hedged (D-hedged) and delta-vega-hedged (DV-hedged) options with daily rebalancing, we find that IS is negatively (positively) related to call (put) option returns, but the relation to put options is statistically significant only during economic recessions. The relation is more substantial when the underlying stock has a larger market beta and when the firm has more severe information opacity. Our results suggest that investors' skewness preference grows stronger with greater market risk and lower information quality. In the second essay, we examined the informed trading in the options market before FDA drug advisory committee meetings. We find significant abnormal options trading volume before both meeting dates and report creation dates, particularly for small drug firms. Abnormal volume significantly predicts post-meeting stock returns. Informed traders prefer out-of-the-money options and choose maturities to cover the dates when reports are publicly released. They prefer to sell options close to the meeting date, perhaps to capture returns from both expected stock price changes and the sharp drop in implied volatility post-meeting. In the third essay, I investigate the effect of initial public offerings (IPOs) on industry competitors' options market. I find that rival firms' put (call) options volume increases (decreases) around IPOs, leading to price pressure on call options relative to put options as measured by the implied volatility spread. Rival firms' reaction in the options market also predicts the IPO firms' post-IPO stock performance. Lastly, rival firms with strong operating income experience less negative impact in the options market, suggesting competitive operation performance help stabilize rival firms' options market around IPOs.
Download or read book Stock Market Volatility and Price Discovery written by Jose Gonzalo Rangel and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Volatility and Risk in Financial Markets written by Kwanho Kim and published by . This book was released on 1993 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Structure Volatility and Volume written by Hans R. Stoll and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Market Volatility written by Kiseok Nam and published by . This book was released on 1998 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Market Volatility written by Sangjoon Kim and published by . This book was released on 1994 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Market Volatility written by Li Jiang and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investigates trade activity and quoted liquidity of the component stocks in the TSE 35 Index, and in the Toronto 35 Index Participations; the sources of variation and volatility; and the Canadian stock market crash of 1987.
Download or read book Essays on the Relation Between Stock Price Movements and Orders written by Carl Hopman and published by . This book was released on 2003 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) This points toward a bigger role for uninformed price pressure than is usually assumed. The fourth chapter addresses the implications of concavity for the volume volatility relationship. Whereas Jones, Kaul, and Lipson (1994) find that trade size has no effect on volatility and that only the number of trades is important, we establish that trade size is important, but not in a linear form. One has to take a concave function of each trade size to maximize the relation with volatility. When this is done, the number of trades becomes irrelevant.
Download or read book Three Essays on Firm specific Volatility written by Maria Gabriela Schutte and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The central objective of my dissertation is to study the behavior of firm-specific volatility in countries around the world. Consistent with existing literature, I use firm-specific volatility to measure two important concepts: the information content of stocks and firm-specific risk. In Chapter One I hypothesize that the institutional environment in a country has direct consequences on firm-specific risk. A stronger institutional environment results in higher product market competition, higher firm turnover, and higher rates of technological innovation. Consistent with my predictions, I find that creative destruction explains a significant proportion of the cross-sectional differences in firm specific volatility in 40 countries. In Chapter Two I look at the cyclical fluctuations of comovement in the US and 27 other countries during the period 1980-2005. I find that, in general, comovement tends to be countercyclical. Additionally, I find wide cross-sectional variation in the strength of association between comovement and the business cycle. This strength of association positively correlates to a measure of variability in information production. In turn, I find that the information environment can reduce variability in information production and reduce cyclical fluctuations in stock return correlations. Finally, in Chapter I find that idiosyncratic risk has explanatory power on the cross-section of expected returns in international markets. I find strong support to the theory in all countries under study. In eight of the fifteen countries surveyed the relation is significantly positive while in the remaining seven countries the relation is zero. In no instance do I find the relation to be negative. In addition, the results from my analysis are economically significant. I find that after controlling for stock characteristics (beta, size, and momentum) the response in excess returns to a 1% increase in monthly-expected idiosyncratic risk ranges across countries between zero and one half of a percent.
