Download or read book Testing the Impact of Trading Volume on Market Return and Volatility written by Cristiana Tudor and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper examines both the return-volume and volatility-volume movements on Bucharest Stock Exchange, in order to evaluate the impact of changes in stock market liquidity on stock returns and on volatility of returns. We employ linear Granger-causality tests to investigate the dynamic relation between trading volume, stock returns and returns volatility on the Romanian stock market, using daily logarithmic returns for the composite index BET-C, as a proxy for the market, and daily logarithmic change in trading volume during the period January 2004-July 2008. As a proxy for return volatility we employ absolute values of daily deviation of return from its mean value during the considered time period. We can report unidirectional linear causality from returns to volume and also from volume to volatility.

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

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 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 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 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 Price Volatility Trading Volume and Market Depth written by Hendrik Bessembinder and published by . This book was released on 1992 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets written by Takatoshi Itō and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.

Download or read book Robustness in Econometrics written by Vladik Kreinovich and published by Springer. This book was released on 2017-02-11 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent research on robustness in econometrics. Robust data processing techniques – i.e., techniques that yield results minimally affected by outliers – and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.

Download or read book Return Volatility and Trading Volume written by Torben G. Andersen and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: An empirical model for the return volatility-trading volume system is developed from a mircostructure framework in which informational asymmetries and liquidity needs motivate trade in response to the arrival of new information. The specification modifies the quot;Mixture of Distribution Hypothesisquot; (MDH). The dynamic features of the system are governed by the information flow, modeled as a stochastic volatility process that generalizes successful ARCH specifications. The persistence of volatility is fairly low, hinting at a quot;robustifyingquot; impact of including volume in the system. Speciification tests support the modified specification and show that it outperforms the standard MDH.

Download or read book Return Volatility Cross sectional Dispersion and Trading Activity in the Equity and Futures Markets written by Hendrik Bessembinder and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Download or read book The Dynamic Relation between Stock Returns Trading Volume and Volatility written by Gong-meng Chen and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from 1973 to 2000. The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns. Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets.

Download or read book Duration Volume and Volatility Impact of Trades written by Simone Manganelli and published by . This book was released on 2005 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an econometric reduced form that incorporates causal and feedback effects among these variables. We construct impulse-response functions that show how the system reacts to a perturbation of its long-run equilibrium. The methodology is applied to two groups of stocks from NYSE, classified according to their trade intensity. We document how the two groups of stocks are characterised by different dynamics: 1) volume is more persistent for frequently traded stocks than for the infrequently traded ones; 2) the well-known positive relationship between volume and price variability holds only for the frequently traded stocks at the ultra high frequency level; 3) the trade arrival process can be considered exogenous only for the not frequently traded stocks; 4) the more frequently traded the stock, the faster the market returns to its full information equilibrium after a perturbation.

Download or read book The Effect of Stock Trading Volume on Return written by Mona Atuea and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examined the relationship between trading volume and stock return to shed more light on the structure of the Egyptian stock exchange and the information arrival pattern, aiming to reach recommendations which may be beneficial to the stock exchange, investors and other stakeholders. The study found that there is a contemporaneous relationship between trading volume and return, besides the historical data of trading volume especially for the last five days helps improve the prediction of future return. Even though one should not only rely on trading volume to predict return as it explains a very small part of change in stock return. Also, the Egyptian stock exchange is informationally inefficient as the information arrives to the market sequentially not simultaneously and that there is much noise and speculative trading. The study recommends that the number of transactions is a better measure of trading volume in the Egyptian stock market. These results are important to the Egyptian Exchange management, investors, and technical analysts.

Download or read book Robust Statistical Procedures written by Peter J. Huber and published by SIAM. This book was released on 1996-01-01 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a brief, well-organized, and easy-to-follow introduction and overview of robust statistics. Huber focuses primarily on the important and clearly understood case of distribution robustness, where the shape of the true underlying distribution deviates slightly from the assumed model (usually the Gaussian law). An additional chapter on recent developments in robustness has been added and the reference list has been expanded and updated from the 1977 edition.

Download or read book Modelling Financial Time Series written by Stephen J. Taylor and published by World Scientific. This book was released on 2008 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.