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Trading Volume And Market Efficiency
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Book Synopsis Trading Volume and Market Efficiency by : Patel Ishaan
Download or read book Trading Volume and Market Efficiency written by Patel Ishaan and published by . This book was released on 2023-03-04 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on asset market and market microstructure has devoted surprisingly little attention to trading volume. Many economic models of financial markets and market microstructure have been developed to explain the predictability of prices (returns), and information content of it. However, far less attention has been devoted to explain the behavior of trading volume. To fill this gap in the literature, this study tries to expand our understanding of trading volume for an emerging market by empirically estimating econometric models using recently available daily volume data for individual securities listed on the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The analysis carried out serves several purposes: a) understand the motives for trade & the process by which trades are realized, b) the interaction between price and volume, and c) the roles that risk preferences and market frictions play in determining stock trading activity. Our empirical contributions include: (1) the construction of a volume based index for the Indian equity markets & comprehensive exploratory data analysis of the time-series behavior of trading volume; (2) modeling trading volume series using long-memory models and its forecasting performance; (3) estimation of dynamic price & volume relations using Markov Switching framework; and (4) a new approach for empirically identifying various factors determining the stock trading volume. The empirical result that stock trading volume is a long-memory process, does not affect market efficiency.
Book Synopsis The Relationship Between Trading Volume and Returns in the Japanese Equity Market by : Shoichi Mizusawa
Download or read book The Relationship Between Trading Volume and Returns in the Japanese Equity Market written by Shoichi Mizusawa and published by . This book was released on 1993 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Book Synopsis Short Introduction to Corporate Finance by : Raghavendra Rau
Download or read book Short Introduction to Corporate Finance written by Raghavendra Rau and published by Cambridge University Press. This book was released on 2017-01-11 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Short Introduction to Corporate Finance provides an accessibly written guide to contemporary financial institutional practice. Rau deploys both his professional expertise and experience of teaching MBA and graduate-level courses to produce a lively discussion of the key concepts of finance, liberally illustrated with real-world examples. Built around six essential paradigms, he builds an integrated framework covering all the major ideas in finance over the past half-century. Ideal for students and practitioners alike, it will become core reading for anyone aspiring to become an effective manager.
Book Synopsis An Option Theoretic Approach to Market Efficiency by : Rajeev R. Bhattacharya
Download or read book An Option Theoretic Approach to Market Efficiency written by Rajeev R. Bhattacharya and published by . This book was released on 2019 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for market efficiency. I rely upon the theory of trading volume as a function of short sales costs, etc., and that of market efficiency as a function of trading volume, etc. derived by Bhattacharya (2019). I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs & constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive, and my results are robust to various econometric specifications and financial economic assumptions.
Book Synopsis Share Prices and Trading Volume by : Giovanni Majnoni
Download or read book Share Prices and Trading Volume written by Giovanni Majnoni and published by . This book was released on 1996 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Microstructure Theory by : Maureen O'Hara
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.
Book Synopsis Privileged Traders and Asset Market Efficiency by : Daniel Friedman
Download or read book Privileged Traders and Asset Market Efficiency written by Daniel Friedman and published by . This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finance 2: Asset Allocation and Market Efficiency by : Michael Frömmel
Download or read book Finance 2: Asset Allocation and Market Efficiency written by Michael Frömmel and published by BoD – Books on Demand. This book was released on 2023-03-22 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: This books builds on 'Finance 1: Portfolio Theory and Management'. Both volumes are linked through the asset allocation process. While Finance 1 focuses on portfolio theory and strategic asset allocation, Finance 2 deals with tactical asset allocation and market efficiency. We start by reviewing the asset allocation process, market timing and the approach by Black and Litterman. Section 2 deals with the predictability of prices, including technical analysis and momentum. Turning to factors that may cause the predictability - if there is any - we discuss models from behavioural finance. The subsequent section deals with bubbles and herd behaviour, before we cover market microstructure and its implications. The book's last section deals with price manipulation as a cause for inefficiencies.
Book Synopsis An Empirical Analysis of the Weak-form Efficiency of Stock Markets by :
Download or read book An Empirical Analysis of the Weak-form Efficiency of Stock Markets written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
Book Synopsis Volume and the Nonlinear Dynamics of Stock Returns by : Chiente Hsu
Download or read book Volume and the Nonlinear Dynamics of Stock Returns written by Chiente Hsu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4.
Book Synopsis Does Price Efficiency Increase with Trading Volume? Evidence of Nonlinearity and Power Laws in ETFs by : Gunduz Caginalp
Download or read book Does Price Efficiency Increase with Trading Volume? Evidence of Nonlinearity and Power Laws in ETFs written by Gunduz Caginalp and published by . This book was released on 2017 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether efficiency increases with increasing volume is an important issue that may illuminate trader strategies and distinguish between market theories. This relationship is tested using 124,236 daily observations comprising 68 large and liquid U.S. equity exchange traded funds (ETFs). ETFs have the advantage that efficiency can be measured in terms of the deviation between the trading price and the underlying net asset value that is reported each day. Our findings support the hypothesis that the relationship between volume and efficiency is nonlinear. Indeed, efficiency increases as volume increases from low to moderately high levels, but then decreases as volume increases further. The first part tends to support the idea that higher volume simply facilitates transactions and maintains efficiency, while the latter part, i.e., even higher volumes, supports the ansatz that increased volume is associated with increased speculation that ignores valuation and decreases efficiency. The results are consistent with the hypothesis that valuation is only part of the motivation for traders. Our methodology accounts for fund heterogeneity and contemporaneous correlations. Similar results are obtained when daily price volatility is introduced as an additional independent variable.
Book Synopsis Measuring Liquidity in Financial Markets by : Abdourahmane Sarr
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Book Synopsis Liquidity, Markets and Trading in Action by : Deniz Ozenbas
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Book Synopsis Have Financial Markets Become More Informative? by : Jennie Bai
Download or read book Have Financial Markets Become More Informative? written by Jennie Bai and published by . This book was released on 2012-12-01 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: The finance industry has grown, financial markets have become more liquid, and information technology allows arbitrageurs to trade faster than ever. But have market prices then become more informative? We use stock and bond prices to forecast earnings and find that the information content of market prices has not improved since 1960. We use a model with information acquisition and investment to link financial development, price informativeness, and allocational efficiency. As information costs fall, the predictable component of future earnings should rise and hence improve capital allocation and welfare. We find that this component has remained stable over the past 50 years. When we decompose price informativeness into real price efficiency and forecasting price efficiency, we find that both have remained stable.
Book Synopsis Liquidity and Market Efficiency by : Dennis Y. Chung
Download or read book Liquidity and Market Efficiency written by Dennis Y. Chung and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Chordia, Roll and Subrahmanyam (2008, hereafter CRS) examine short horizon return predictability from past order flows of large, actively traded NYSE firms across three tick size regimes and conclude that higher liquidity facilitates arbitrage trading which enhances market efficiency. We extend CRS to a comprehensive sample of all NYSE firms and examine the dynamics between liquidity and market efficiency during informational periods. Our results indicate that although all NYSE firms experience an overall improvement in market efficiency across periods of different tick size regimes, this improvement varies significantly across the portfolios of sample companies formed on the basis of trading frequency, market capitalization, and trading volume. After controlling for these factors, we further document a positive association between a continuous measure of liquidity and market efficiency, and show that this effect is amplified during periods that contain new information, as reflected in high adverse selection component of the bid-ask spread.
