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Evaluating the Liquidity of Stocks using Transaction Data
Ivanchuk, Nataliya - 2004
In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …
Persistent link: https://www.econbiz.de/10009471789
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Theoretical and Practical Aspects of Algorithmic Trading
Fränkle, Jan - 2010
At today's stock markets, most of the trading volume is traded electronically. Thus, also many market participants execute their order flow automatically with the help of trading algorithms. Hence, several important aspects concerning algorithmic trading are discussed. One of the main topics of...
Persistent link: https://www.econbiz.de/10009434653
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Intraday volume and volatility relations with and without public news
Darrat, A.; Zhong, M.; Cheng, L. - 2007
This paper reexamines the dynamic relation between intraday trading volume and return volatility of large and small NYSE stocks in two partitioned samples, with and without identifiable public news. We argue that the sequential information arrival hypothesis (SIAH) can be tested only in periods...
Persistent link: https://www.econbiz.de/10009448126
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Regulierung internationaler Finanzmärkte durch Transaktionssteuern : die Wirkung einer Tobin-Steuer auf Handelsvolumen und Wechselkursvolatilität
Haberer, Markus - 2006
Untersuchungsziel dieser finanzwissenschaftlichen Arbeit ist die Wirkung einer Tobin-Steuer als spezielle Transaktionssteuer auf das Devisen-Handelsvolumen und die Wechselkursvolatilität. Ausgangspunkt bildet das mikroökonomische Investitionsverhalten der Marktteilnehmer, das wir mit Hilfe von...
Persistent link: https://www.econbiz.de/10009471738
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks....
Persistent link: https://www.econbiz.de/10009475070
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Nonlinear Dynamic Structures
Gallant, A. Ronald; Rossi, Peter E.; Tauchen, George - 1993
The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional moment profiles corresponding to certain shocks; a conditional moment...
Persistent link: https://www.econbiz.de/10009475493
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Essays on the Impact of Investors Speculation and Disagreements on Security Prices and Trading Volume
Choy, Siu Kai - 2011
The essays empirically show the impact of investors speculation and disagreements on the returns and trading volume of securities. The results also shed light on the central issues of price formation and investors’ trading motives in security markets.The first essay investigates whether the...
Persistent link: https://www.econbiz.de/10009455359
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Asset Pricing in Emerging Capital Markets: Stock Returns, Trading Volume, and Returns Volatility
Gebka, Bartosz - 2005
most of the trades on the WSE are conducted due to liquidity needs or changing preferences of investors, and are not driven …
Persistent link: https://www.econbiz.de/10009460740
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Three essays on financial economics
Alhaj-Yaseen, Yaseen Salah - 2010
Doctor of Philosophy
Persistent link: https://www.econbiz.de/10009464081
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The empirical relationship between intraday volatility and trading volume : evidence from Chinese Stocks
Tian, Gary G.; Guo, Mingyuan; Daly, Kevin James; … - University of Western Sydney; University of Western Sydney; … - 2005
This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of thirty-nine stocks from the Shanghai Stock...
Persistent link: https://www.econbiz.de/10009482105