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Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs.
Hua, Cheng - Université Paris-Dauphine
proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …
Persistent link: https://www.econbiz.de/10008551709
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Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs
Hua, Cheng - Université Paris-Dauphine (Paris IX) - 2006
proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …
Persistent link: https://www.econbiz.de/10010708652
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Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Laakkonen, Helinä - Suomen Pankki - 2015
daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …
Persistent link: https://www.econbiz.de/10011207864
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Does Human Psychology Drive Financial Markets? Evidence from International Markets
Dhaoui, Abderrazak; Khraief, Naceur - In: International Journal of Economics and Empirical … 2 (2014) 3, pp. 100-108
This paper provides the first evidence for empirical tests of the effect of rational expectations as well as behavioral biases, including among other animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading.We have used daily data for five international capital...
Persistent link: https://www.econbiz.de/10010902142
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A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364
This paper empirically examines the relationship between trading volume and conditional volatility of returns in the … arrival hypothesis (SIAH). Through this study, we especially aim to test the volatility persistence degree without volume …. Firstly, we confirm the strong positive relationship between trading volume and returns conditional volatility issued from …
Persistent link: https://www.econbiz.de/10011268784
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Determinants of trading activity after rating actions in the Corporate Debt Market
Abad, Pilar; Robles Fernandez, M. Dolores; Diaz, Antonio - Facultad de Ciencias Económicas y Empresariales, … - 2011
The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate...
Persistent link: https://www.econbiz.de/10009364037
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In search of concepts: The effects of speculative demand on returns and volume
ap Gwilym, Owain; Wang, Qingwei; Hasan, Iftekhar; Xie, Ru - Suomen Pankki - 2013
Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10010691919
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THE IMPACT OF INVESTOR PSYCHOLOGY ON STOCK MARKETS: EVIDENCE FROM FRANCE
DHAOUI, ABDERRAZAK; BOUROUIS, SAAD; BOYACIOGLU, MELEK ACAR - In: Journal of Academic Research in Economics 5 (2013) 1 (June), pp. 35-59
This paper provides the first evidence for empirical sensitivity of trading volume to human psychological factors. We review therefore extensive evidence about how human psychology affects investor behavior and trading volume. Using the data for individual stocks listed on the CAC40 Stock Market...
Persistent link: https://www.econbiz.de/10010692156
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Google search intensity and its relationship with returns and trading volume of Japanese stocks
Takeda, Fumiko; Wakao, Takumi - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 1-18
This study examines the relationship between online search intensity and stock-trading behavior in the Japanese market. The search intensity is measured by the search volume of company names on Google. Our sample consists of 189 Japanese stocks searched between 2008 and 2011. We find...
Persistent link: https://www.econbiz.de/10010785040
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Leveling the trading field
Easley, David; Hendershott, Terrence; Ramadorai, Tarun - In: Journal of Financial Markets 17 (2014) C, pp. 65-93
We examine the impact on stock prices of a major upgrade to the New York Stock Exchange's trading environment. The upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and quotes. The portion of the upgrade that reduced latency for...
Persistent link: https://www.econbiz.de/10010737890