Volume- and Size-Related Lead-Lag Effects in Stock Returns and Volatility PDF Download
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Author: Bartosz Gebka Publisher: ISBN: Category : Languages : en Pages :
Book Description
We analyze the autocorrelation structure of returns and volatility of stocks listed in the single auction system on the Warsaw Stock Exchange during the period January 1996 - October 2000. First, we find that size- and volume-related cross-autocorrelation in portfolio returns exists even after accounting for the portfolio's own-autocorrelation. Second, we find that size and volume leadership are independent from each other. Third, our results indicate slower adjustment of the small (low volume) portfolios to market-wide information that differs for up and down markets. We also find evidence for volatility spillovers between portfolio returns.
Author: Bartosz Gebka Publisher: ISBN: Category : Languages : en Pages :
Book Description
We analyze the autocorrelation structure of returns and volatility of stocks listed in the single auction system on the Warsaw Stock Exchange during the period January 1996 - October 2000. First, we find that size- and volume-related cross-autocorrelation in portfolio returns exists even after accounting for the portfolio's own-autocorrelation. Second, we find that size and volume leadership are independent from each other. Third, our results indicate slower adjustment of the small (low volume) portfolios to market-wide information that differs for up and down markets. We also find evidence for volatility spillovers between portfolio returns.
Author: Tarun Chordia Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross-autocorrelation patterns in short-horizon stock returns.
Author: Gong-meng Chen Publisher: ISBN: Category : Languages : en Pages :
Book Description
We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from 1973 to 2000. The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns. Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets.
Author: Leon Zolotoy Publisher: ISBN: Category : Languages : en Pages : 36
Book Description
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: Ali F. Darrat Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Kewei Hou Publisher: ISBN: Category : Languages : en Pages :
Book Description
I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantly an intra-industry phenomenon. Moreover, this effect is driven by sluggish adjustment to negative information, and is robust to alternative determinants of the lead-lag effect. Small, less competitive and neglected industries experience a more pronounced lead-lag effect. The lead-lag effect is related to the post-announcement drift of small firms following the earnings releases of big firms within the industry.
Author: Wing-Keung Wong Publisher: MDPI ISBN: 3039365312 Category : Business & Economics Languages : en Pages : 382
Book Description
The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.
Author: Bartosz Gebka
Author: Bartosz Gebka
Author: Tarun Chordia
Author: Rochelle L. Antoniewicz
Author: Gong-meng Chen
Author: Leon Zolotoy
Author: Ali F. Darrat
Author: Esra Memili
Author: Greg N. Gregoriou
Author: Kewei Hou
Author: Wing-Keung Wong