Search Results - subject:"Volatility-Volume"

An analytical study of equity derivatives traded on the NSE of India

Dungore, Parizad Phiroze; Singh, Kulbir; Pai, Rajesh - In: Cogent Business & Management 9 (2022) 1, pp. 1-13

% of the total trades for futures and options contracts, respectively. This signifies high volatility. Volume traded by … individuals is bulk compared to other categories for both intraday and non-day trades. This study estimates the volatility volume …

Persistent link: https://www.econbiz.de/10014505455

An analytical study of equity derivatives traded on the NSE of India

Dungore, Parizad; Singh, Kulbir; Pai, Rajesh - In: Cogent business & management 9 (2022) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10014433709

Stock market volatility and trading volume: A special case in Hong Kong with stock connect turnover

Chan, Brian Sing Fan; Cheng, Andy Cheuk Hin; Ma, Alfred … - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-17

The cross-boundary Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect provides a special data set to study the dynamic relationships among volatility, trading volume and turnover among three stock markets, namely Shanghai, Shenzhen, and Hong Kong. We employ the Granger Causality test with...

Persistent link: https://www.econbiz.de/10012611054

Stock market volatility and trading volume : a special case in Hong Kong with stock connect turnover

Chan, Brian Sing Fan; Cheng, Cheuk Hin; Ma, Alfred Ka Chun - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17

Persistent link: https://www.econbiz.de/10011960613

Investor participation and the volatility-volume relation : evidence from an emerging market

Bian, Jiangze; Chan, Kalok; Fong, Wai-ming - In: Emerging markets review 45 (2020)

Persistent link: https://www.econbiz.de/10012503237

Should central banks use the currency futures market to manage spot volatility? : Evidence from India

Biswal, Pratap Chandra; Jain, Anshul - In: Journal of multinational financial management 52/53 (2019), pp. 1-10

Persistent link: https://www.econbiz.de/10012314762

The performance of China’s stock market price limits: noise mitigator or noise maker?

Tao, Juan; Yingying, Wu; Jingyi, Zhang - In: China Finance Review International 7 (2017) 1, pp. 85-97

and within an expanded framework of volatility-volume relationships. The sample stocks include the 300 component stocks of …-examine the price limit effect in China’s stock market in an expanded framework of volatility-volume relationships. It identifies …

Persistent link: https://www.econbiz.de/10014694639

The performance of China's stock market price limits : noise mitigator or noise maker?

Tao, Juan; Wu, Yingying; Jingyi, Zhang - In: China finance review international 7 (2017) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10011797749

When Market Illiquidity Generates Volumes

Darolles, Serge; Fol, Gaëlle Le; Mero, Gulten - HAL - 2010

We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their respective impacts on returns and volume should be modeled...

Persistent link: https://www.econbiz.de/10008794315

Measuring the liquidity part of volume

Darolles, Serge; Fol, Gaëlle Le; Mero, Gulten - In: Journal of Banking & Finance 50 (2015) C, pp. 92-105

incorporated into daily trading characteristics. In addition, we propose an econometric setup exploiting the volatility–volume …

Persistent link: https://www.econbiz.de/10011118070