Number of Transactions, Trade Size and the Volume-Volatility Relationship: An Interday and Intraday Analysis on the Tunisian Stock Market (original) (raw)
Related papers
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.
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.
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...
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.
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.
THE DYNAMIC RELATIONSHIP BETWEEN STOCK VOLATILITY AND TRADING VOLUME
2012
The objective of the study is to measure the relationship between trading volume and returns; and change in trading volume and returns of stocks in Pakistan.Various techniques such as Unit root tests and GARCH have been applied on the data to determine the relationship between aforesaid variables. For this purpose, weekly data of Karachi Stock Exchange (KSE-100 index) has been collected and analyzed from January 2000 to March 2012.The GARCH results indicate a significant positive relationship between trading volume and returns; and change in trading volume and returns.This relationship is of great importance to individuals from investment and policy making perspective as trading volume reflects information about market expectations, and its relationship with price can have important implications for trading, speculation, forecasting and hedging activities.
Trading Volume And Volatility In The Boursa Kuwait
2017
This paper presents the results of a study of the effect of daily trading volume on the persistence of timevarying conditional volatility for Kuwait Stock Exchange. The sample includes the market index, seven sectoral indices and 20 stocks. Whereas inclusion of contemporaneous volume in the equation of conditional variance does not reduce the persistence of volatility for the eight indices, this is not the case for individual companies. Furthermore, the lagged intraday volatility has higher predictive power for volatility than the lagged trading volume. These results lend further support to the mixture of distribution hypothesis at the level of firm, but not at the market and sectoral levels.
Information flow between stock return and trading volume: the Tunisian stock market
International Journal of Financial Services Management
This paper investigates the dynamics of information flow between stock return and trading volume in the Tunisian Stock Market (TSE) using intraday data covering the year 2006. The Cross‐Correlation Function (CCF) suggested by Cheung and Ng is employed to detect the causality in mean and in variance between stock return and trading volume. Our results reveal that contrary to the Mixture of Distribution Hypothesis (MDH), only a few Tunisian stocks display instantaneous correlations in mean and in variance between trading volume and stock return. However, strong evidence of 'lead‐lag' linkages in mean and in variance in major Tunisian stocks is found. This result supports the Sequential Information Arrival Hypothesis (SIAH) of Copeland (1976). Also, our results pointed out that the information flow in the TSE follows a sequential rather than simultaneous process indicating the rejection of the informational efficiency hypothesis.