کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084188 | 1477830 | 2009 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Small trades and volatility increases after stock splits
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we examine the trading activity and return volatility pattern before and after splits. Unlike previous studies, we employ high-frequency transaction data and more powerful asymptotical tests on the impact of split on volatility. Furthermore, we examine the relationship between volatility and volume using different volatility measures and controlling for the effects of autocorrelation and trading costs. We find that small trades increase significantly after stock splits and the increase in return volatility is strongly related to the increase in small trades after stock splits. The results support our contention that the post-split volatility increase is driven primarily by the trading activity of smaller noise investors. Test results are robust to different measures of trading activity and return volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 18, Issue 4, October 2009, Pages 592-610
Journal: International Review of Economics & Finance - Volume 18, Issue 4, October 2009, Pages 592-610
نویسندگان
Chun-nan Chen, Chunchi Wu,