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Author: Pradeep K Mavuluri
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this relationship (see Karpoff (1987) and Board et al (1990) for a number of reasons why price-volume affiliation is positive). However, the recent literature provides evidence of revisiting the volume-volatility relationship as volatility and transaction counts relationship. So far no study examines the role of transactions frequency over and above volume in explaining the volatility; hence, the present study attempts to uncover the relevance of transaction counts for Indian stock market. Specifically, the study considers component stocks of Indian barometer indices, NSE Nifty and Nifty Junior, for the period 2005. In addition, study measures volatility by five minute intra day volatility apart from traditional absolute and squared price changes. Volume is measured as average trade size. The basic hypotheses that the number of transactions drives the volatility rather than the volume has been examined by the cross-sectional averages of Nifty amp; Nifty Junior stocks after running time series regressions.
Author: Pradeep K Mavuluri
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this relationship (see Karpoff (1987) and Board et al (1990) for a number of reasons why price-volume affiliation is positive). However, the recent literature provides evidence of revisiting the volume-volatility relationship as volatility and transaction counts relationship. So far no study examines the role of transactions frequency over and above volume in explaining the volatility; hence, the present study attempts to uncover the relevance of transaction counts for Indian stock market. Specifically, the study considers component stocks of Indian barometer indices, NSE Nifty and Nifty Junior, for the period 2005. In addition, study measures volatility by five minute intra day volatility apart from traditional absolute and squared price changes. Volume is measured as average trade size. The basic hypotheses that the number of transactions drives the volatility rather than the volume has been examined by the cross-sectional averages of Nifty amp; Nifty Junior stocks after running time series regressions.
Author: Hanfeng Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
We find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. And this pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetry when the stock price moves up and when the stock price moves down, and we attribute this asymmetry to the short-selling constraints.
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
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Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Megan Yuan Sun
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 702
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Book Description
Author: Cheng-Few Lee
Publisher: Springer Science & Business Media
ISBN: 0387771174
Category : Business & Economics
Languages : en
Pages : 1700
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Book Description
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Author: Leon Zolotoy
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the role of volume and volatility in the individual stock market dynamics using a sample of ten major developed stock markets. Next, we extend our analysis to a multiple market framework, based on a large sample of cross-listed firms. Our analysis is based on both semi-nonparametric (Flexible Fourier Form) and parametric techniques. Our major findings are as follows. First, we find no evidence of the trading volume affecting the serial correlation of stock market returns, as predicted by Campbell et.al (1993) and Wang (1994). Second, the stock market volatility has a negative and statistically significant impact on the serial correlation of the stock market returns, consistent with the positive feedback trading model of Sentana and Wadhwani (1992). Third, the lagged trading volume is positively related to the stock market volatility, supporting the information flow theory. Fourth, we find the trading volume to have both an economically and statistically significant impact on the price discovery process and the co-movement between the international stock markets. Overall, these findings suggest the importance of the trading volume as an information variable.
Author: Vanessa Le Leslé
Publisher: International Monetary Fund
ISBN: 1475502656
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Author: Andrea Pizarro Pedraza
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110582759
Category : Language Arts & Disciplines
Languages : en
Pages : 346
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Book Description
Linguistic taboo has been relegated for a long time to a peripheral position within Linguistics, due to its social stigmatization and inherent linguistic complexity. Recently, though, there has been a renewed interest in revisiting the phenomenon, especially from cognitive frameworks. This volume is the first collection of papers dealing with linguistic taboo from that perspective. The volume gathers 15 chapters, which provide novel insights into a broad range of taboo phenomena (euphemism, dysphemism, swearing, political correctness, coprolalia, etc.) from the fields of sexuality, diseases, death, war, ageing or religion. With a special focus on lexical semantics, the authors in the volume work within Cognitive Linguistics frameworks such as conceptual metaphor and metonymy, cultural conceptualization or cognitive sociolinguistics, but also at the interface of pragmatics, discourse analysis, applied linguistics, cognitive science or psychiatry. This volume provides theoretical reflections and case studies based on new methods and data from varied languages (English, Spanish, Polish, Dutch, Persian, Gikũyũ and Egyptian Arabic). As such, it moves towards a new generation of linguistic taboo studies.
Author: Justin Balthrop
Publisher:
ISBN:
Category :
Languages : en
Pages : 71
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Book Description
This paper tests whether margin requirements cause asset price volatility. Using novel data on margin requirements and by exploiting exogenous variation from a threshold-based regression discontinuity design, I document that increasing margin causes a persistent decrease in future volatility (negative level effect) and a decline in trading volume. For an average 13.7% increase in margin requirement, I find an average 3.7% decrease in volatility. These results contrast with prior empirical studies that largely find no relationship between volatility and margin and provide support for the efficacy of financial market policies that seek to curb excess market volatility.
Author: Franziska König
Publisher: Springer Science & Business Media
ISBN: 3834994499
Category : Business & Economics
Languages : en
Pages : 358
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Book Description
Franziska König examines the anatomy of uncertainty-governance choice relationships from different theoretical angles, including transaction costs economics, resource-based theory, and real options theory. The book provides, furthermore, comprehensive empirical insights both from secondary data examined with a “vote-counting” analysis as well as from primary data, collected through a “policy-capturing” study.
