Author: Henry Kuanshen Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 186
Book Description
Trading Volume and Serial Correlation of Returns on the Taiwan Stock Exchange
Daily Serial Correlation, Trading Volume and Price Limits
Trading Volume and Serial Correlation in Stock Returns
Author: John Y. Campbell
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 30
Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 30
Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Trading Volume and Serial Correlation in Stock Return
Author: John Y. Campbell
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 30
Book Description
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 30
Book Description
Trading Volume and Serial Correlation in Stock Returns
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse quot;market makersquot; accommodate buying or selling pressure from quot;liquidityquot; or quot;non-informationalquot; traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Book Description
This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse quot;market makersquot; accommodate buying or selling pressure from quot;liquidityquot; or quot;non-informationalquot; traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Intraday Information, Trading Volume, and Return Volatility
Author: Edward H. Chow
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 148
Book Description
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 148
Book Description
Forecasting the Trading Volume in Taiwan Stock Market by Principle Components
Trading Volumen and Serial Correlation in Stock Returns
Return-volume Relationship in the Taiwan Stock Market--a Revisit on Sample Selection Problem
Market Response to Listing Switch between Order-Driven Markets
Author: Jerry C. Ho
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
This paper examines the change in returns, trading activities, and liquidity of 43 firms that moved from the Over-The-Counter market to Taiwan Stock Exchange during 2002. Using the intraday data, our empirical results suggest that abnormal returns rise as the switching date is approaching, but these returns fall off following the switch. The up-and-down pattern in cumulative abnormal returns around the switching date can be explained by the quot;correction-to-an-overreaction hypothesisquot;. The light trading activities of the switching stocks over the shorter event window are due to the precaution of public investors and trading activities are aroused after the switching firms stay for a longer period of time. The width and depth of liquidity are both worse following the switch. Day trading and stealth trading provide a possible explanation for this phenomenon.
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
This paper examines the change in returns, trading activities, and liquidity of 43 firms that moved from the Over-The-Counter market to Taiwan Stock Exchange during 2002. Using the intraday data, our empirical results suggest that abnormal returns rise as the switching date is approaching, but these returns fall off following the switch. The up-and-down pattern in cumulative abnormal returns around the switching date can be explained by the quot;correction-to-an-overreaction hypothesisquot;. The light trading activities of the switching stocks over the shorter event window are due to the precaution of public investors and trading activities are aroused after the switching firms stay for a longer period of time. The width and depth of liquidity are both worse following the switch. Day trading and stealth trading provide a possible explanation for this phenomenon.