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Author: John Y. Campbell
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 30
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Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Author: John Y. Campbell
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 30
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Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse quot;market makersquot; accommodate buying or selling pressure from quot;liquidityquot; or quot;non-informationalquot; traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Author: John Y. Campbell
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 30
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Book Description
Author: Rochelle L. Antoniewicz
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 66
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Author: Rochelle L. Antoniewicz
Publisher:
ISBN:
Category :
Languages : en
Pages : 352
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Book Description
Author: Hans R. Stoll
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 88
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Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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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: Henry Kuanshen Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 186
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Book Description
Author: Gregory R. Duffee
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 52
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Book Description
