Download or read book Volume and Volatility in the Stock Market written by Melissa Danielle Davis and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Formation and Liquidity in the U S Treasury Market written by Michael J. Fleming and published by . This book was released on 2006 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer.

Download or read book Intraday Price Volatility and Trading Volume written by Toshiaki Watanabe and published by . This book was released on 1996 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Download or read book Intraday Volatility and Trading Volume After Takeover Announcements written by Brian F. (Brian Frederick) Smith and published by London : Richard Ivey School of Business, University of Western Ontario. This book was released on 1997 with total page 28 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 Intraday Patterns in Returns Trading Volume Volatility and Trading Frequency on SEATS written by Michael J. Aitken and published by . This book was released on 1993 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intraday Market Liquidity on the Swiss Stock Exchange written by Angelo Ranaldo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an empirical analysis of the intraday market liquidity and volume concentration on the Swiss Stock Exchange. The intraday market liquidity on the Swiss market exhibits a triple-U shaped pattern. An intraday pattern of volume concentration also exists. The empirical evidence shows that the US market influences the Swiss trading day to a remarkable extent. The results also suggest the dynamics of an order-driven market. Disequilibrium between demand and supply conditions are associated with an increase in trading volume and a thinner limit order book. In this market condition, trades engender a wider spread and price volatility.

Download or read book Intraday Trading Activity and Volatility written by Vivek Rajvanshi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture of-Distribution Hypothesis (MDH), which suggests a positive simultaneous relationship between trading volume and price volatility, and the Sequential Information Arrival Hypothesis (SIAH), which argues that information arrives sequentially in the market and there would be a lead-lag relationship between volatility and volume. Further, in order to test the dispersed belief and asymmetrical information hypothesis, we test the impact of the net effect of trading numbers and order imbalance on volatility. We find that trading numbers explain the volume-volatility relationship better than the order imbalance and mainly drive the return volatility in the Indian commodity futures market. Our results find strong support for the above hypotheses and suggest that the four theories -- MDH, SIAH, dispersed belief, and asymmetrical information hypothesis -- complement each other.

Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.

Download or read book Volume Volatility and NYSE Trading Halts written by Charles M. C. Lee and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intraday Versus Inter day Trading Analysis of Market Depth Trading Volume and Return Volatility with Holiday Effects on US and Taiwan Stock Market written by and published by . This book was released on 2015 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Intraday Analysis of Liquidity and Price Volatility in the S P 500 Index Futures Market written by George H. K. Wang and published by . This book was released on 1990 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Intraday Behaviour of Bid Ask Spreads Trading Volume and Return Volatility written by Syed Mujahid Hussain and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data that include transaction price, trading volume, and the close bid and ask quote for the period May 5, 2004 through September 29, 2005. We document a number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. We are able to confirm the reverse J-shaped pattern of intraday bid-ask spreads with the exception of a major bump following the intraday auction at 13:05 CET. The aggregate trading volume exhibits L-shaped pattern for the German blue chip index, while German index volatility displays a somewhat reverse J-shaped pattern with two major bumps at 14:30 and 15:30 CET. Our empirical findings show that contemporaneous and lagged trading volume and bid-ask spreads have numerically small but statistically significant effect on return volatility. Our results also indicate asymmetry in the effects of volume on conditional volatility. However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.

Download or read book Volume Volatility and NYSE Trading Halts written by Charles Lee, Mark Ready and Paul Seguin and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Volatility and Investor Confidence written by New York Stock Exchange. Market Volatility and Investor Confidence Panel and published by . This book was released on 1990 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investing with Volume Analysis Identify Follow and Profit from Trends written by Buff Dormeier and published by FT Press. This book was released on 2011 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyzing volume can help you look deep inside trends, identify shifts more rapidly, and earn higher profits with less risk. Now, award-winning stock analyst Buff Pelz Dormeier shows exactly how to make volume analysis work for you. Analyze volume responsiveness, reliability, risk, and returns & mdash;and use your insights to optimize every trade!