The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds (original) (raw)
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The purpose of this paper is to study the relationship between trading volume and unconditional price volatility on the Tunisian Stock Market in order to provide an empirical support to either the hypothesis of the strategic asymmetric information models or the hypothesis of competitive asymmetric information Models. More specifically, it aims to test the volume-volatility relationship and identify the component of trading volume (number of transactions or trade size) that explains more price volatility and drives this relationship. Our empirical tests are based on daily and intraday data related to the 43 most active and dynamic listed stocks on the
Liquidity, Trading Activity, and Stock Price Volatility
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Purpose: While the bulk of previous research focused on security-level volatility and the relationship of its determinants, the current study considers the relationship between the number of trades, lagged absolute returns, trading volume, bid-ask spread, and price volatility on the Zimbabwe stock market. Methods: The study applied Hausman's (1982) tests of the specification. The parameters and elasticity of explanatory variables have been estimated by utilizing the Generalized Method of Moments (GMM) procedure in a five-equation structural model. The data were obtained from a web-based financial market platform, Investing.com for the period between 2009 and 2021. Results: Results show that inflation had a positive relationship with stock price volatility, which provided a hedge against inflation. There exists an indistinguishable difference between the random effects (RE) and fixed effects (FE) results and those obtained using the Pooled Ordinary Least Squares (POLS) on the to...
This paper investigates the volume-returnvolatility relationship for 25 individual stocks inthe Turkish stock market, using daily data for theperiod 1998-2005. The results indicate thattrading volume significantly contributes to thereturn volatility process of stocks in Turkish stockmarket, as suggested in many studies. On theother hand, the results also signify that thetrading volume has no significant effect on thereduction of the volatility persistence for majorityof stocks in the sample, challenging the presenceof “Mixed Distribution Hypothesis” in Turkishstock market. These results are consistent with theempirical findings of a number of studies inemerging markets, including with those done inTurkish stock market.
Brazilian Business Review, 2008
This study investigates the empirical relationship between stock returns, return volatility and trading volume using data from the Austrian stock market. We find only weak support for a contemporaneous as well as dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables cannot be improved by knowledge of the other. On the other hand, our results indicate that there is a strong contemporaneous relationship between return volatility and trading volume. Additionally we find that return volatility contains information about upcoming trading volume by applying Granger's test for causality.
International Journal of Economics and Finance, 2012
The purpose of this paper is to investigate the intraday pattern of trading activity, liquidity and return volatility in the emerging Tunisian Stock Market (TSE) which is an order-driven market using intraday data covering the period October 2008 to June 2009. To achieve this objective, we have applied two methods: the temporal analysis that consists to estimate a dichotomy model for each variable by following the methodological approach of Vo (2007) and the second method is to apply the spectrum analysis by using the Fourier Transform fast (FFT). The results have shown that all identified variables are characterized by notable seasonality justified the rejection of the hypothesis of constancy (H 0). Both methods have shown the existence a seasonal pattern in U. The reason considered to justify this intraday behavior is the crucial role played by the problem of adverse selection especially between the two dimensions of liquidity: the spread and depth at the best limit. It should also be noted the effect of inventory management on the optimal allocation of the portfolio.
ANALYSIS OF THE ROMANIAN CAPITAL MARKET VOLATILITY
2009
Opening ceremony Romanian local public finance decentralization Tatiana Moşteanu, Carmen Maria Lăcătuş / 13 The domestic economic policy -from macroeconomic influences to strengthening the competitive equity Ioan Cuzman, Daniel Manaţe, Pavel Fărcaş / 20 The performance of romanian open-end funds and the crisis context Carmen Corduneanu, Daniela Ţurcaş / 26 Financial crime and the securization of banking circuits in order to prevent and fight against money laundering Ion Stancu, Daniel Rece, Filip Iorgulescu / 34
Three essays on price volatility and trading volume in financial markets
1989
The objective of this dissertation is to examine the stock price volatility-volume relationship. The dissertation begins with an estimation of the time deformation market model in which stock contemporaneous trading volume is utilized as a proxy for the rate of information arrival. This local time market model is economically appealing because it is capable of expllining the observed heteroskedasticity and leptokurtosis in daily return data. With a sample of firms which have stock splits, it is shown that the inferences drawn from a modified event study which incorpcrates the local time market model are similar to those drawn from a typical event study which uses the simple OLS market model. In order words, a typical event study which employs daily stock return data and the OLS market model yields robust inferences in spite of the violation of the normality assumption in daily return data. The time deformation market model is also able to show that the increase in price volatility i...
2013
Market expectations of future return volatility play a crucial role in finance; we investigate the empirical relationship between return volatility and trading volume using data from the Amman Stock Exchange (ASE) for 27 individual stocks, using daily data for the period 2002-2012. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Amman stock Exchange, as suggested in many studies. On the other hand, the results also signify that the Trading volume has no significant effect on the reduction of the volatility persistence for majority of stocks in the sample, challenging the existence of “Mixed Distribution Hypothesis” in Amman stock Exchange.
SSRN Electronic Journal, 2000
This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and sellerinitiated trades as two factors impacting realized volatility, we investigate whether they have an asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that realized volatility and its continuous component in the returns has a positive association with trading volume, number of trades and average trade size. The association between the jump component of realized volatility and trading volume and the number of trades is negative. The buyer and seller initiated trades do not appear to explain realized volatility well. These results are robust to both GMM estimation and sub-period analysis. JEL Codes: G10, G12, G13
The Impact of Day-Trading on Volatility and Liquidity
Asia-Pacific Journal of Financial Studies, 2009
We examine day-trading activities for 540 stocks traded on the Korea Stock Exchange using transactions data for the period from 1999 to 2000. Our cross-sectional analysis reveals that day-traders prefer lower-priced, more liquid, and more volatile stocks. By estimating various bivariate VAR models using minute-by-minute data, we find that greater daytrading activity leads to greater return volatility and that the impact of a day-trading shock dissipates gradually within an hour. Past return volatility also positively affects future day-trading activity. We also find that past day-trading activity negatively affects bid-ask spreads, and past bid-ask spreads negatively affect future day-trading activity. Finally, we find that day-traders use short-term contrarian strategies and their order imbalance affects future returns positively. This result is consistent with a cyclical behavior of day-traders who concentrate their buy or sell trades at the bottom or peak of the shortterm price cycles, respectively.