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Author : Tom Berglund
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (579 download)
Download or read book The Impact of Trading Volume on Stock Return Distributions written by Tom Berglund and published by . This book was released on 1990 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hung Xuan Do
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)
Download or read book How Does Trading Volume Affect Financial Return Distributions? written by Hung Xuan Do and published by . This book was released on 2015 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further contribute new evidence of cross market relations between volume and volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more diversified regional portfolios. Furthermore, the negative interaction between volume and kurtosis can be explained by the differences of opinion in financial markets. We observe stronger interdependence among higher moments in reaction to significant events, but the strength is dampened by trading volume. This result is consistent with trading volume being a source of heteroskedasticity in asset returns.
Author : Rochelle L. Antoniewicz
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book A Causal Relationship Between Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mona Atuea
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659354571
Total Pages : 52 pages
Book Rating : 4.3/5 (545 download)
Download or read book The Effect of Stock Trading Volume on Return written by Mona Atuea and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examined the relationship between trading volume and stock return to shed more light on the structure of the Egyptian stock exchange and the information arrival pattern, aiming to reach recommendations which may be beneficial to the stock exchange, investors and other stakeholders. The study found that there is a contemporaneous relationship between trading volume and return, besides the historical data of trading volume especially for the last five days helps improve the prediction of future return. Even though one should not only rely on trading volume to predict return as it explains a very small part of change in stock return. Also, the Egyptian stock exchange is informationally inefficient as the information arrives to the market sequentially not simultaneously and that there is much noise and speculative trading. The study recommends that the number of transactions is a better measure of trading volume in the Egyptian stock market. These results are important to the Egyptian Exchange management, investors, and technical analysts.
Author : Rochelle L. Antoniewicz
Publisher :
ISBN 13 :
Total Pages : 352 pages
Book Rating : 4.:/5 (89 download)
Download or read book An Empirical Analysis of Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Po-shing Wong
Publisher :
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.:/5 (513 download)
Download or read book Some Mixture Models for the Joint Distribution of Stock's Return and Trading Volume written by Po-shing Wong and published by . This book was released on 1991 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maureen O'Hara
Publisher : John Wiley & Sons
ISBN 13 : 0631207619
Total Pages : 310 pages
Book Rating : 4.6/5 (312 download)
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Author : Joseph E. Granville
Publisher : Pickle Partners Publishing
ISBN 13 : 1789126037
Total Pages : 531 pages
Book Rating : 4.7/5 (891 download)
Download or read book Granville’s New Key to Stock Market Profits written by Joseph E. Granville and published by Pickle Partners Publishing. This book was released on 2018-12-05 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this remarkable stock market study, one of Wall Street’s best known market analysts reveals a new technical tool he developed for gauging the pulse of the trading cycle. Called the On Balance Volume Theory, this tool tends to fill in some of the conspicuous voids in the famous Dow Theory—especially the lack of discussion and use of stock volume figures. As straightforward as a set of bridge rules, on-balance volume (OBV) denotes each buy and sell signal so that a trader can follow them without his own emotions tending to lead him astray—emotions causing most of the market misjudgements that take place. The Granville OBV method is essentially scientific, has a high degree of accuracy and has many automatic features. The reader of this book will be introduced to a method whereby he may benefit by the earlier movements of volume over price—the “early warning” radar of volume buy and sell signals.
Author : Robert A. Ariel
Publisher : Palala Press
ISBN 13 : 9781379114314
Total Pages : 52 pages
Book Rating : 4.1/5 (143 download)
Download or read book A Monthly Effect in Stock Returns written by Robert A. Ariel and published by Palala Press. This book was released on 2018-03-03 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Markus Michaelsen
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)
Download or read book Information Flow Dependence in Return and Trading Volume Across Different Stocks written by Markus Michaelsen and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a multivariate return and trading volume model, where each stock's system is driven by latent information arrivals in continuous time. The arrivals contain idiosyncratic and cross-relevant information, which provides both return and trading volume dependence. Conditional on the accumulated information, returns are jointly normal and correlated, which implies a second layer of dependence in the return dimension. Using a sample of nine common stocks, we show that trading volume significantly adds to the operationalization of the latent information flow process driving the contemporaneous return distribution. The dependence parameter estimates provide significant and interpretable degrees of information flow dependence across all results. Portfolio risk measurement applications are extended by conditioning on the level of trading volume, e.g. reflecting stress, leading to an accurate risk quantification.
Author : Henrik Carl Schmidt
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (49 download)
Download or read book Reported Trading Volume and Return Distribution on the Nasdaq and the NYSE written by Henrik Carl Schmidt and published by . This book was released on 1999 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin T. Bohl
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Volume and Stock Market Volatility written by Martin T. Bohl and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Relying on the mixture of distributions hypothesis, this paper investigates the relationship between daily returns and trading volume for 20 Polish stocks. Our empirical results show that in the majority of cases volatility persistence tends to disappear when trading volume is included in the conditional variance equation, which is in agreement with the findings of studies on developed stock markets. However, we cannot confirm the testable implications of the mixture of distributions hypothesis in all cases which indicates that future research on the causes and modeling of Polish stock market volatility is necessary.
Author : Tim Loughran
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Weather, Stock Returns, and the Impact of Localized Trading written by Tim Loughran and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document by several methods that trading in Nasdaq stocks islocalized. The first evidence of localized trading is that the time zone of a company's headquarters affects intraday trading patterns in its stock. Stocks of west coast firms have lower volume early in the trading day than east coast companies and do not exhibit the steep decline in volume documented for the east coast lunch hour. Second, firms in blizzard-struck cities see a dramatic trading volume drop compared to firms in other cities. On average, about 1/3 of a normal day's trading volume is lost when a blizzard strikes. Third, trading volume drops for stocks in general during Yom Kippur, but the effect is particularly strong for cities with large Jewish populations. The finding that trading in Nasdaq stocks is geographically concentrated allows us to construct powerful alternative tests of other researchers' finding that stock returns are lower on cloudy days. We construct portfolios of Nasdaq stocks based in 25 cities. We are unable to find any evidence that cloud cover in the city of a company's headquarters affects its stock returns.
Author : Leon Zolotoy
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Volume, Volatility and Return Dynamics written by Leon Zolotoy and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Steven Gold
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)
Download or read book Impact of Trading Volume on Next Day Stock Returns in the DJIA 2007-2009 written by Steven Gold and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is prevalent among investment analysts to use high trading volume as a positive selection condition. But the research findings in the finance literature are not clear on the predictive validity or even the direction of the impact of trading volume on future returns. One stream of research finds that high trading volume is associated with information asymmetry or differences in beliefs between traders, suggesting greater uncertainty in stock returns. A second stream of research finds that high trading volume is attributed to informed trading, suggesting greater certainty that stock returns will be maintained. A third stream of research, supporting the efficient market hypothesis, rejects the predictive validity of using historical information. These opposing viewpoints are evaluated by examining the behavior of the DJIA stock portfolio between the years 2007 to 2009. The analysis supports the findings of the “asymmetric information” hypothesis and has important implications with respect to investment strategies.
Author : Cathy W. S. Chen
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Evidence of Stock Returns and Abnormal Trading Volume written by Cathy W. S. Chen and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks, the proposed model captures asymmetric risk through market beta and volume coefficient that change discretely between regimes that are driven by market information and various quantile levels. This study finds significantly negative effects of abnormal volume on stock excess return under low quantile levels, nevertheless there are significantly positive effects under high quantile levels. The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions.
