کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085169 | 1477934 | 2011 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What drives the volume-volatility relationship on Euronext Paris?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The goal of this paper is to shed light on the relationship between volume and volatility. More specifically, it aims to determine which component of trading volume (trade size or number of transactions) drives this relation. Our intraday analysis reveals several results. Firstly, we confirm the strong positive relationship between volume and volatility. Secondly, including volume in the conditional variance of stock returns significantly reduces the persistence of volatility. Thirdly, we show that the well-known positive relationship between volatility and volume is generated by the number of trades. These results are robust, even after controlling for the impact of the intraday patterns. Finally, our findings are available for the CAC40 Index as well as for individual stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 20, Issue 4, August 2011, Pages 200-206
Journal: International Review of Financial Analysis - Volume 20, Issue 4, August 2011, Pages 200-206
نویسندگان
Waël Louhichi,