An Empirical Analysis Of Stock Returns And Volume
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An Empirical Analysis Of Stock Returns And Volume
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Author : Rochelle L. Antoniewicz
language : en
Publisher:
Release Date : 1992
An Empirical Analysis Of Stock Returns And Volume written by Rochelle L. Antoniewicz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
The Impact Of Trading Volume On Stock Return Distributions
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Author : Tom Berglund
language : en
Publisher:
Release Date : 1990
The Impact Of Trading Volume On Stock Return Distributions written by Tom Berglund and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
An Empirical Analysis On The Dynamic Relationship Between Fii Trading Volume Nifty Returns
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Author : Dr.Lakshmi P.
language : en
Publisher:
Release Date : 2013
An Empirical Analysis On The Dynamic Relationship Between Fii Trading Volume Nifty Returns written by Dr.Lakshmi P. and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper empirically examines the relationship between trading volume of FII flows and volatility of stock returns. The contemporaneous correlation and asymmetry between NIFTY returns and FII trading volume is studied through OLS. There is evidence for positive contemporaneous correlation between returns and volume. The relationship between conditional volatility and volume is investigated through GARCH model by introducing volume as an explanatory variable in the GARCH equation. The results indicate that GARCH effect is reduced only to a negligible level by the inclusion of trading volume of FIIs as an explanatory variable. This implies that FIIs influence towards persistence of volatility is very low and there may be other factors responsible for the same.
An Empirical Analysis Of The Weak Form Efficiency Of Stock Markets
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Author :
language : en
Publisher:
Release Date : 2009
An Empirical Analysis Of The Weak Form Efficiency Of Stock Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
The Empirical Relationship Between Stock Returns Return Volatility And Trading Volume In The Brazilian Stock Market
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Author : Otavio Ribeiro de Medeiros
language : en
Publisher:
Release Date : 2006
The Empirical Relationship Between Stock Returns Return Volatility And Trading Volume In The Brazilian Stock Market written by Otavio Ribeiro de Medeiros and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We investigate the empirical relationship between stock returns, return volatility and trading volume using data from the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH modeling, VAR modeling, and Granger causality tests. We find support for a contemporaneous as well as dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. On the other hand, our results indicate that there is a contemporaneous and dynamic relationship between return volatility and trading volume. Additionally, by applying Granger's test for causality, we find that return volatility contains information about upcoming trading volume and vice versa.
An Empirical Analysis Of Equity Prices And Trading Volume
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Author : David Sean Bromley
language : en
Publisher:
Release Date : 1990
An Empirical Analysis Of Equity Prices And Trading Volume written by David Sean Bromley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Stocks categories.
Information Content Of Trading Volume
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Author : Donald J. Gorczyca
language : en
Publisher:
Release Date : 1993
Information Content Of Trading Volume written by Donald J. Gorczyca and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Stocks categories.
Dynamics Of Trading Volume And Stock Returns
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Author : Manik Lakhani
language : en
Publisher:
Release Date : 2014
Dynamics Of Trading Volume And Stock Returns written by Manik Lakhani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This project intends to study the relationship between stock returns and their trading volume and to test the causality effects. It focuses on the 50 stocks of CNX Nifty which is a value-weighted stock index of National Stock Exchange of India. Three proxies of trading volume namely, numbers of transactions, total traded quantity (volume) and total Rupee value of the traded quantity (turnover) have been taken and the asymmetry in the relationship of returns and volume is tested through regression. The study also tries to find the best proxy for volume through granger causality. The results indicate that there is asymmetry in the relation between returns and volume and the best proxy of the volume is the turnover or the value of shares traded.
Empirical Analysis Of Stock Return And Volatility Spillovers
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Author :
language : en
Publisher:
Release Date : 2008
Empirical Analysis Of Stock Return And Volatility Spillovers written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
An Empirical Analysis Of The Effects Of Online Trading On Stock Price And Trading Volume Reactions To Earnings Announcements
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Author : Anwer S. Ahmed
language : en
Publisher:
Release Date : 2005
An Empirical Analysis Of The Effects Of Online Trading On Stock Price And Trading Volume Reactions To Earnings Announcements written by Anwer S. Ahmed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
This study provides evidence on the effects of online trading on stock price and trading volume reactions to quarterly earnings announcements. We test for differences in stock price and volume reactions to quarterly earnings announcements between a period with a significant amount of online trading (1996-1999) and a period without online trading (1992-1995). We conjecture that online trading has increased the proportion of naive investors in the market. We predict that this will result in (i) a decrease in the average precision of investor information prior to earnings announcements implying higher ERCs, (ii) an increase in differential interpretation of earnings leading to higher trading volume reactions that are unrelated to price change, and (iii) a decrease in differential prior precision leading to a decrease in the association between trading volume and absolute price change. We find evidence consistent with all three predictions. Our findings are relevant for assessing the validity of concerns about online trading expressed by regulators and the validity of theoretical models of trade with asymmetrically informed investors.