Download or read book Futures Trading Activity and Stock Price Volatility 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 More on the Effect of Trading by Institutions on Stock Price Volatility written by Frank K. Reilly and published by . This book was released on 1977 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trading Activity and Stock Price Volatility written by Roger D. Huang and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of FTSE 100 stock transactions data reported by the London Stock Exchange shows that trade frequency and average trade size impact price volatility for small trades (i.e. trades of one NMS or less). For large trades, only trade frequency affects price volatility. In further splitting small trades by relative size, trade frequency and average trade size are found to affect price volatility only for trades close to stocks' maximum guaranteed quoted depth. This evidence is consistent with microstructure models of dealer inventory adjustment and strategic behavior by informed traders, where dealers and uninformed traders face adverse selection costs.

Download or read book A Primer on Program Trading and Stock Price Volatility written by Gregory Duffee and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.

Download or read book Trading Activity Program Trading and the Volatility of Stock Returns written by James T. Moser and published by . This book was released on 1992 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Individual Investors and Volatility written by Thierry Foucault and published by . This book was released on 2013 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that retail trading activity has a positive effect on the volatility of stock returns. To identify this effect, we use a reform of the French stock market that triggers a drop in retail trading activity by raising the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by twenty basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades. We argue that these findings are consistent with the view that some retail investors behave as noise traders.

Download or read book Price Change and Trading Activity Dynamics on the London Stock Exchange written by Ronald W. Masulis and published by . This book was released on 1992 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trading Activity and Volatility in Equity and Foreign Exchange Markets written by Sze Shih Ting and published by . This book was released on 2011 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 3 uses high frequency data to compute volatility which is commonly known as realized volatility. The procedure proposed in Chapter 2 is used here to test the relationship between trading activity and volatility in the stock market and foreign exchange market of eight countries. The stock market results reveal that there is an asymmetric effect of volume in volatility when price movement (induced by news) is incorporated. However there is no evidence of such asymmetry in the foreign exchange market which suggests that the foreign exchange market may be more efficient than the equity market.

Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.

Download or read book Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid ask Spread written by A. S. Desai and published by . This book was released on 1996 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Volatility and Trading Activity Following Changes in the Size of Futures Contracts written by Johan Bjursell and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between daily price volatility and trading activity one year before and after a change in the size of selected futures contracts. The following three contracts are included in this study: the Stock Price Index traded on the Sydney Futures Exchange (SFE), which had a contract split on October 11, 1993; the FTSE-100 index traded on the London International Financial Futures Exchange (LIFFE), which had a contract split on March 23, 1998; and the 90-Day Bank Acceptance Bill (BAB) traded on the SFE, which had a reverse split on May 1, 1995. We obtain several interesting empirical results. We observe that there is a positive relationship between daily price volatility and the number of trades (trading frequency) before and after a change in the size of the examined futures contracts. We find that the increase (decrease) in total trading frequency has the power to explain the increase (decrease) of daily price volatility after a contract split (reverse split). Most of the average trade size variable has an immaterial impact on price volatility. Decomposing the total trading frequencies into four trade size classes, we find that the trading frequencies for small and large trade size categories are highly significant in explaining changes in daily price volatility after the index futures contracts' splits. These results are consistent with the noise trading hypothesis (Black (1986)) and the hypothesis on less informed trading in index futures markets. For the BAB case, we find that the trading frequencies for small, medium and large sizes impact price volatility before and after the reverse contract split.

Download or read book The Volatility Course written by George A. Fontanills and published by John Wiley & Sons. This book was released on 2002-10-11 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: It takes a special set of trading skills to thrive in today's intensely volatile markets, where point swings of plus or minus 200 points can occur on a weekly, sometimes daily, basis. The Volatility Course arms stock and options traders with those skills. George Fontanills and Tom Gentile provide readers with a deeper understanding of market volatility and the forces that drive it. They develop a comprehensive road map detailing how to identify its ups and downs. And they describe proven strategies and tools for quantifying volatility and confidently developing plans tailored to virtually any given market condition. The companion workbook provides step-by-step exercises to help you master the strategies outlined in The Volatility Course before putting them into action in the markets.

Download or read book An Analysis of Price Volatility Trading Volume and Market Depth of Stock Futures Market in India written by Srinivasan Kaliyaperumal and published by GRIN Verlag. This book was released on 2018-03-13 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.

Download or read book The Impact of Minimum Trading Units on Stock Value and Price Volatility written by Shmuel Hauser and published by . This book was released on 2009 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study how minimum trading unit changes on the Tel-Aviv Stock Exchange impact stock trading activity, price volatility and value. The value effects are consistent with Merton (1987)'s model, that is an increase in the investor base (trading volume) and a decrease in price noisiness affect stock value positively. Our results extend Amihud Mendelson and Uno (1999)'s tests of Melson (1987) by demonstrating a clear relation between price noisiness changes and stock value changes, and by showing that the response to a minimum trading unit decrease becomes less favorable (and arguably even negative) in the thinnest trading stocks.

Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.