The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds

The aim of this paper is to investigate the relationship between trade volume, number of transaction and daily volatility for Romanian Financial Investments Funds. There is a large debate on this topic. The empirical results of previous literature showed that there is a strong relationship between these varables. Using OLS regressions we found that trade volume has a larger impact on daily volatility compared to the influence of number of transactions which could be considered as a proxy for liquidity.

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Year of publication:	2008
Authors:	Negrea, Bogdan ; Tatu, Lucian ; Stoian, Andreea
Published in:	Theoretical and Applied Economics. - Asociaţia Generalā a Economiştilor din România - AGER. - Vol. 11(528).2008, 11(528), p. 31-36
Publisher:	Asociaţia Generalā a Economiştilor din România - AGER
Subject:	volatility \| trade volume \| number of transactions \| liquidity \| capital market

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Extent:	application/pdf text/html
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

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