Author: Sanjiv BhatiaPublisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 390
Book Description
Essays on Price Volatility and Trading Volume
Author: Sanjiv BhatiaPublisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 390
Book Description
Three Essays on Price Volatility and Trading Volume in Financial Markets
Author: Percy Siuping PoonPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 272
Book Description
Essays on Stock Trading Volume, Volatility and Information
Author: Hanfeng WangPublisher: Open Dissertation Press
ISBN: 9781361440254
Category :
Languages : en
Pages :
Book Description
This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay we find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. This pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t
Essays on the Impact of Investors Speculation and Disagreements on Security Prices and Trading Volume
Author: Siu Kai ChoyPublisher:
ISBN: 9780494777688
Category :
Languages : en
Pages :
Book Description
Essays on Futures Trading and Price Volatility
Author: Ahmet Enis KocagilPublisher:
ISBN:
Category : Futures
Languages : en
Pages : 222
Book Description
Essays on the Relation Between Stock Price Movements and Orders
Author: Carl HopmanPublisher:
ISBN:
Category :
Languages : en
Pages : 97
Book Description
(Cont.) This points toward a bigger role for uninformed price pressure than is usually assumed. The fourth chapter addresses the implications of concavity for the volume volatility relationship. Whereas Jones, Kaul, and Lipson (1994) find that trade size has no effect on volatility and that only the number of trades is important, we establish that trade size is important, but not in a linear form. One has to take a concave function of each trade size to maximize the relation with volatility. When this is done, the number of trades becomes irrelevant.
Stock Market Volatility and Price Discovery
Author: Jose Gonzalo RangelEssays on Momentum, Autoregressive Returns, and Conditional Volatility: Evidence from the Saudi Stock Market
Author: Abdullah AlsubaiePublisher:
ISBN: 9780549083276
Category : Stock exchanges
Languages : en
Pages : 143
Book Description
The second essay examines the relationship between abnormal changes in trading volume of both firms and portfolio levels, and the short-term price autoregressive behavior in the SSM. The objective is to investigate the informational role that trading volume plays in predicting the direction of short-term returns. I evaluate whether the abnormal change in lagged, contemporaneous, and lead turnover affects serial correlation in returns. Consistent with the prediction of Campbell, Grossman, and Wang (1993) model, the result of this essay indicates that lagged abnormal change in trading volume lead to reversal in consecutive weekly returns. Contemporaneous and lead changes in volume provide mixing results.
Author: Shang-Jin Wei
Author: Sekyung Oh