Download or read book Relationship Among Return Volume and Volatility written by Sui Choi Billy Mak and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Empirical Relationship Between Trading Volume Returns and Volatility written by Timothy J. Brailsford and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commonality Information and Return Return Volatility Volume Relationship written by Xiaojun He and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a common-factor model to investigate relationships between security returns/return volatility and trading volume. The model generalizes Tauchen and Pitts' (1983) MDH model by capturing possible interactions among securities. In our model, both price changes and trading volume are governed by three kinds of mutually independent variables: common factor variables, latent information variables and idiosyncratic variables. Despite its similarity to Hasbrouck and Seppi's (2001) model in terms of the form, the model extraordinarily allows us to identify the cause of interactions among securities by decomposing factor loadings into constant and random components. Three key implications are reached from our model. First, common factor structures in returns and trading volume stem from information flows. Second, returns' common factors are not related to trading volume's common factors. This implication directly opposes Hasbrouck and Seppi's (2001) assumption. Finally, cross-firm variations of returns and volume respectively rely on underlying latent information flows. The positive relation between return volatility and volume also results only from underlying latent information flows. Thus, common factor structures in returns and trading volume have no additional explanatory power in cross-firm variations and the positive return volatility-volume relationship. We fit the model for intraday data of Dow Jones 30 stocks using the EM algorithm. The results support specifications of our model. The empirical results demonstrate 3-factor structures in returns and trading volume, respectively. All 30 stocks in our sample are governed by at least one common factor. This fact implies that our model outperforms Tauchen and Pitts' (1983) model because their model is a special case of our model without the presence of common factors. We also show that after controlling the effect of information flows, persistence in return variance disappears.
Download or read book Forecasting conditional volatility of returns by using the relationship among returns trading volume and open interest in commodity futures markets written by Sang-Hak Lee and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relationship Between Stock Return Volatility and Trading Volume in Amman Stock Exchange Jordan written by Nada Ibrahim Abu Aljarayesh and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three main objectives of the study have accomplished by the analysis; is to examine the relationship between stock return and trading volume in Jordan ASE market. Plus to conclude whether the relationship of trading volume and stock return on Jordan ASE market is reliable with the weak-form of the efficient market hypothesis (EMH). Least, the relationship between stocks return volatility and trading volume in Jordan ASE market has been investigated. The experimental results verify a significant positive relationship between stock return and trading volume. Thus, the first objective is satisfied. Second objective is proven that ASE market is contradicted with the weak-form of EMH. The results of the GARCH (1,1) model illustration that the ASE displays strong volatility persistence and that the past volatility be able to explicate the current.
Download or read book A Causal Relationship Between Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Volume Volatility and Return Dynamics written by Leon Zolotoy and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the role of volume and volatility in the individual stock market dynamics using a sample of ten major developed stock markets. Next, we extend our analysis to a multiple market framework, based on a large sample of cross-listed firms. Our analysis is based on both semi-nonparametric (Flexible Fourier Form) and parametric techniques. Our major findings are as follows. First, we find no evidence of the trading volume affecting the serial correlation of stock market returns, as predicted by Campbell et.al (1993) and Wang (1994). Second, the stock market volatility has a negative and statistically significant impact on the serial correlation of the stock market returns, consistent with the positive feedback trading model of Sentana and Wadhwani (1992). Third, the lagged trading volume is positively related to the stock market volatility, supporting the information flow theory. Fourth, we find the trading volume to have both an economically and statistically significant impact on the price discovery process and the co-movement between the international stock markets. Overall, these findings suggest the importance of the trading volume as an information variable.
Download or read book Stock Market Dynamics written by Robert Maria Margaretha Jozef Bauer and published by . This book was released on 1997 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Examining the Relationship Between Trading Volume Market Return Volatility and U S Aggregate Mutual Fund Flow written by Hayan Omran and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Return Volatility Volume Analysis of Indian Stock Market written by Sarika Mahajan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volume Volatility and Momentum in Financial Markets written by Marcus Davidsson and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price is large then the trading volume is also large. We also found that a momentum strategy on volume perform on par with a momentum return investment strategy. A significant amount of positive serial correlation was also found in the volatility and volume.
Download or read book The Empirical Investigation of Relationship Between Return Volume Volatility in Indian Stock Market written by Gurmeet Singh and published by . This book was released on 2016 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. We find that, the TARCH model is better fit, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to volume can be seen as some evidence that new information arrival might follow a sequential rather than a simultaneous process. Moreover, in the GARCH model, ARCH and GARCH effects remain significant, which highlights the inefficiency in the market. In addition, EGARCH and TARCH models indicate the presence of leverage effect and positive impact of volatility on returns. Finally, the findings of granger causality test records the evidence of one way causality from volatility to trading volume and from return to volume.
Download or read book Daily Return Volatility Bid Ask Spreads and Information Flow written by Jinliang Li and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the Mixture of Distribution Hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility. The results show that the positive relationship between volatility and volume is primarily driven by the informed component of trading. Controlling for the information flow, volatility is negatively related to trading volume. Furthermore, bid-ask spreads are positively related to the intensity of information flow.
Download or read book A Study of the Relationships Between Returns Volatility and Trading Volume at the Market and Individual Share Levels Using the Jakarta Stock Exchange written by Bramantyo Djohanputro and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noise Trading Transaction Costs and the Relationship of Stock Returns and Trading Volume written by Mr.Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1994-10-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
Download or read book Reexaming the Relationship Between Stock Returns and Stock Return Volatility written by Gregory R. Duffee and published by . This book was released on 1992 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time and Dynamic Volume Volatility Relation written by Xiaoqing Eleanor Xu and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volume and volatility dynamics by accounting for market activity measured by the time duration between two consecutive transactions. A time-consistent vector autoregressive model (VAR) is employed to test the dynamic relationship between return volatility and trades using intraday irregularly spaced transaction data. The model is used to identify the informed and uninformed components of return volatility and to estimate the speed of price adjustment to new information. It is found that volatility and volume are persistent and highly correlated with past volatility and volume. The time duration between trades has a negative effect on the volatility response to trades and correlation between trades. Consistent with microstructure theory, shorter time duration between trades implies higher probability of news arrival and higher volatility. Furthermore, bid-ask spreads are serially dependent and strongly affected by the informed trading and inventory costs.
