The Informational Role of Trading Volume PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Informational Role of Trading Volume PDF full book. Access full book title The Informational Role of Trading Volume by Murugappan Chockalingam. Download full books in PDF and EPUB format.
Author: Murugappan Chockalingam
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 156
Get Book Here
Book Description
Author: Murugappan Chockalingam
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 156
Get Book Here
Book Description
Author: Kalok Chan
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
Get Book Here
Book Description
This paper analyzes the intraday interdependence of price movements and order flows for actively traded NYSE stocks and their CBOE-traded options. Stock net-buy volume (buyer-initiated volume minus seller-initiated volume)has strong predictive ability for subsequent stock and option returns, but call or put net-buy volume has little predictive ability. Furthermore, stock returns lead option returns more than they lag even after controlling for net-buy volume. Therefore, our results indicate that order flows in the stock market are informative but order flows in the option market are not, and suggest that informed investors submit trades primarily in the stock market rather than in the option market. There is also some evidence for the non-informational linkage between the two markets. Stock net-buy volume is positively (negatively) related to lagged call (put) returns, suggesting that option dealers dynamically hedge their outstanding short option positions when the option deltas change. However, call or put net-buy volume is not correlated with stock net-buy volume or lagged stock returns, suggesting that option traders do not use options for hedging or at least do not readjust their hedged positions frequently.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; while in the long run, the high-volume premium will be eliminated. Finally, I show that momentum profit is higher and more persistent among stocks with low abnormal trading since the loser with low volume bounces back slowly but winners with high volume fall faster and with greater magnitude.
Author: Markus Konrad Brunnermeier
Publisher: Oxford University Press, USA
ISBN: 9780198296980
Category : Business & Economics
Languages : en
Pages : 264
Get Book Here
Book Description
The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.
Author: Kerry Back
Publisher:
ISBN:
Category :
Languages : en
Pages : 71
Get Book Here
Book Description
In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information conveyed by order flows is primarily about asset means. The cross-market lambdas are quite large; consequently, the portions of bond and stock returns explained by order flows are highly correlated, even though the order flows themselves are virtually uncorrelated.
Author: Pasquale Michael Sgro
Publisher: EOLSS Publications
ISBN: 1848261853
Category :
Languages : en
Pages : 328
Get Book Here
Book Description
International Economics, Finance and Trade is the component of Encyclopedia of Development and Economic Sciences in the global Encyclopedia of Life Support Systems (EOLSS), which is an integrated compendium of twenty one Encyclopedias. The subject matter of international economics and finance includes all transactions that cross national boundaries including trade in goods and services, capital and labor markets and transactions in financial assets. The chapters in these volumes are organized into six topics. The first topic starts with several chapters dealing with the 'core' theory in international economics and finance. The second topic presents with several chapters dealing with balance of payments and exchange rates and again emphasis is placed on the evolution of the various approaches. The third topic focuses on the International Financial Architecture, that is the intentional institutions such as the IMF, World bank and the various groupings of countries such as the G7 and G22, which have been set up to facilitate international trade and economic development .The fourth topic deals with a detailed looked at multinational Banking and Global Capital markets, including the role, if any, of regulation of capital markets and the Banking sector. The fifth topic looks at the strategic developments in international trade and issues of globalisation and international trade law as well as the use of terms such as “strategic trade policy” as a way of disguising trade protectionist arguments. The final topic deals in detail with environmental regulations, policy and property rights and their role in sustainable development. These two volumes are aimed at the following a wide spectrum of audiences from the merely curious to those seeking in-depth knowledge: University and College students Educators, Professional practitioners, Research personnel and Policy analysts, managers, and decision makers and NGOs.
Author: Dong Wook Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We find that the negative average-return differential between high- and low-volatility stocks -- the so-called "volatility puzzle" -- is particularly more pronounced when both groups of stocks have large trading volume. Conversely, the return differential is completely absent among low-turnover stocks. Such a high turnover-conditional volatility-future return relation is long-lived and present in various segments of the market and in different time-periods -- e.g., in both small and large stocks and during low- as well as high-investor sentiment periods. While the information contents of large trading volume are likely to be multi-dimensional -- thereby allowing for different explanations, our results at least suggest that trading volume is a useful empirical guide to where to (not) find the average return differential between low- and high-volatility stocks. We also illustrate, in a setting that is neutral about market efficiency, how trading volume interacts with volatility and affects future returns.
Author: Dominique Yves Dupont
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 64
Get Book Here
Book Description
Author: Christian T. Lundblad
Publisher:
ISBN:
Category :
Languages : en
Pages : 69
Get Book Here
Book Description
We examine the trading behavior of particularly intensive traders, those who contribute the most to daily trading volume, and provide new evidence that is consistent with the presence of informational advantages. Using a unique Chinese data set of the most active daily market participants for each stock, we demonstrate that intensive traders' buying (selling) predicts large positive (negative) abnormal returns, both unconditionally and, in particular, around key, value-relevant announcements. An advantage of our data is that we can also directly identify several plausible channels through which such an informational advantage could arise. Specifically, the abnormal returns are largest (in absolute terms) following announcements in the presence of intensive pre-event traders who share the same geographic location as the firms in which they trade, and these effects are the most pronounced for stocks with the lowest analyst coverage or the smallest capitalizations. We also find that particularly active traders located near relevant counterparties in an M&A transaction, a new bank loan facility, or a key political change also exhibit informational advantages. Finally, we provide empirical evidence suggesting that the main component of the informational advantage we document reflects a lower information acquisition cost.
Author: Mark Leibovit
Publisher: McGraw Hill Professional
ISBN: 0071753761
Category : Business & Economics
Languages : en
Pages : 464
Get Book Here
Book Description
Learn how to translate the "language" of volume! Mark Leibovit, a leading market strategist and technical analyst with more than 35 years of trading experience, possesses a solid track record of predicting important movements in the financial market—including Black Monday of 1987, the bear markets of 2000 and 2008, and the “flash crash” of May 2010. Now, with The Trader’s Book of Volume, his secrets are yours! Focusing exclusively on volume technical analysis, The Trader’s Book of Volume describes the basics of volume, explains how to use it to identify and assess the strength of trade-worthy trends, and provides in-depth techniques and strategies for trading volume indicators for profit. With more than 400 charts and graphs, The Trader’s Book of Volume also exhaustively illustrates how readers can profit from a wide array of volume indicators, including: Broad Market Volume Indicators—Cumulative Volume Index, ARMS Index, Upside-Downside Volume, Nasdaq/ NYSE Volume Ratio, Yo-Yo Indicator Volume Indicators—Accumulation/ Distribution, Intraday Intensity, Negative Volume Index, On-Balance Volume, Open Interest Volume Oscillators—Klinger Oscillator, Chaikin Money Flow, Ease of Movement, Volume Oscillator Leibovit Volume Reversal IndicatorTM, the author’s proprietary methodology Under the author’s expert guidance, you can seamlessly incorporate Volume Analysis into your day-to-day trading program. Without a proper approach to Volume Analysis, Leibovit asserts, you’re essentially trading in the “land of the blind.” Use The Trader’s Book of Volume to gain the clearest view possible of market trends and react to them with the confidence and smarts for consistent trading success—and avoid every market crash the future holds.
