Author: Henry Kuanshen WangPublisher:
ISBN:
Category :
Languages : en
Pages : 186
Book Description
Trading Volume and Serial Correlation of Returns on the Taiwan Stock Exchange
Author: Henry Kuanshen WangDaily Serial Correlation, Trading Volume and Price Limits
Author: Lee-rong WangTrading Volume and Serial Correlation in Stock Returns
Author: John Y. CampbellPublisher:
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. CampbellPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 30
Book Description
Trading Volume and Serial Correlation in Stock Returns
Author: John Y. CampbellPublisher:
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. ChowPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 148
Book Description
Forecasting the Trading Volume in Taiwan Stock Market by Principle Components
Author: Yu Chun ChenTrading Volumen and Serial Correlation in Stock Returns
Author: John Y. CampbellReturn-volume Relationship in the Taiwan Stock Market--a Revisit on Sample Selection Problem
Author: 鍾孟豪Trading Patterns and Excess Comovement of Stock Returns
Author: Nathan SosnerPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked trading on the excess comovement of stock returns. A large increase occurred in the correlation of trading volume of stocks added to the index with the volume of stocks that remained in the index, and opposite results occurred for the deletions. Daily index return betas of the additions rose by an average of 0.45; index return betas of the deleted stocks fell by an average of 0.63. Theoretical predictions for changes in autocorrelations and cross-serial correlations of returns of index additions and deletions were confirmed. The results are consistent with the idea that trading patterns are associated with short-run excess comovement of stock returns.