Information Content Of Trading Volume
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A State Space Modeling Of The Information Content Of Trading Volume
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Author : Khaladdin Rzayev
language : en
Publisher:
Release Date : 2019
A State Space Modeling Of The Information Content Of Trading Volume written by Khaladdin Rzayev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
We propose a state-space modeling approach for decomposing trading volume into its liquidity-driven and information-driven components. Using a set of high-frequency S&P 500 stock data, we show that informed trading is linked with a reduction in volatility, illiquidity, and toxicity/adverse selection. We observe that our estimated informed trading component of volume is a statistically significant predictor of one-second stock returns; however, it is not a significant predictor of one-minute stock returns. This disparity is explained by high-frequency trading activity, which eliminates pricing inefficiencies at low latencies.
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.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2010
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper empirically investigates how abnormal trading volume reveals new information to market participants. Trading volume is generally regarded as a good proxy for information flow and theory argues that it enhances the information set of investors. However, as yet, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also has a theoretical link to information quality. I find strong excess returns around extreme trading levels, which is only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, and in violation of the semi-strong form of market efficiency, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on the observation of current volumes. Consistent with the hypotheses presented in this study, the information content of abnormal trading volume is related to ownership characteristics, such as the level of control and the family-firm status.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2005
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo 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.
The role of abnormal trading volume on the Italian Stock Market is investigated here. According to Fama's definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect the whole firm information, so that extra trading investor's activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed traders operating on the stocks and, as a consequence, this extra trading activity might lead to future extra-returns. Some evidence following this hypothesis is found on this paper. Abnormal trading volume, associated with no new announcements, tends to predict future abnormal returns and anticipates a new information release on stock market. A profitable possible portfolio strategy based on abnormal volume signals is also proposed and analysed.
Trading Volume And Market Efficiency
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Author : Patel Ishaan
language : en
Publisher:
Release Date : 2023-03-04
Trading Volume And Market Efficiency written by Patel Ishaan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-03-04 with Business & Economics categories.
The literature on asset market and market microstructure has devoted surprisingly little attention to trading volume. Many economic models of financial markets and market microstructure have been developed to explain the predictability of prices (returns), and information content of it. However, far less attention has been devoted to explain the behavior of trading volume. To fill this gap in the literature, this study tries to expand our understanding of trading volume for an emerging market by empirically estimating econometric models using recently available daily volume data for individual securities listed on the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The analysis carried out serves several purposes: a) understand the motives for trade & the process by which trades are realized, b) the interaction between price and volume, and c) the roles that risk preferences and market frictions play in determining stock trading activity. Our empirical contributions include: (1) the construction of a volume based index for the Indian equity markets & comprehensive exploratory data analysis of the time-series behavior of trading volume; (2) modeling trading volume series using long-memory models and its forecasting performance; (3) estimation of dynamic price & volume relations using Markov Switching framework; and (4) a new approach for empirically identifying various factors determining the stock trading volume. The empirical result that stock trading volume is a long-memory process, does not affect market efficiency.
Information Trading Volume And International Stock Market Comovements
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Author : Louis Gagnon
language : en
Publisher:
Release Date : 2010
Information Trading Volume And International Stock Market Comovements written by Louis Gagnon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Using intraday prices for the Samp;P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the equilibrium models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O?Hara (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return quot;spilloversquot; are sensitive to interactions with trading volume in both markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linearities which are not predicted by theory.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2003
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Information Content Of Options Trading Volume For Future Volatility
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Author : Chuang-Chang Chang
language : en
Publisher:
Release Date : 2012
Information Content Of Options Trading Volume For Future Volatility written by Chuang-Chang Chang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This study follows the approach of Ni, Pan and Poteshman (2008) ndash; based upon the vega-weighted net demand for volatility ndash; to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the strongest and most direct volatility information, which is realized by the delta-neutral options/futures trades. In addition, a few individual investors (less than 1% of individuals' trades) might be informed and realize their volatility information using the strangle strategy. Surprisingly, we find no evidence to support the predictive ability of the volatility demand from straddle trades, despite the widespread acknowledgement that such trades are sensitive to volatility.
An Event Study Test Of The Information Content Of Abnormal Trading Volume In The New Zealand Stock Market
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Author : Yongbo Li
language : en
Publisher:
Release Date : 2003
An Event Study Test Of The Information Content Of Abnormal Trading Volume In The New Zealand Stock Market written by Yongbo Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Stock exchanges and current events categories.
High Frequency Trading And Limit Order Book Dynamics
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Author : Ingmar Nolte
language : en
Publisher: Routledge
Release Date : 2016-04-14
High Frequency Trading And Limit Order Book Dynamics written by Ingmar Nolte and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-14 with Business & Economics categories.
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
