Intraday Trading Volume and Return Volatility of the Djia Stocks

Intraday Trading Volume and Return Volatility of the Djia Stocks
Author: Ali F. Darrat
Publisher:
Total Pages: 13
Release: 2003
Genre:
ISBN:


Download Intraday Trading Volume and Return Volatility of the Djia Stocks Book in PDF, Epub and Kindle

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.


Intraday Trading Volume and Return Volatility of the Djia Stocks
Language: en
Pages: 13
Authors: Ali F. Darrat
Categories:
Type: BOOK - Published: 2003 - Publisher:

GET EBOOK

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
Volume and Volatility in the Stock Market
Language: en
Pages: 44
Authors: Melissa Danielle Davis
Categories:
Type: BOOK - Published: 2000 - Publisher:

GET EBOOK

Derivatives and Hedge Funds
Language: en
Pages: 416
Authors: Stephen Satchell
Categories: Science
Type: BOOK - Published: 2016-05-18 - Publisher: Springer

GET EBOOK

Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised
The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility
Language: en
Pages:
Authors: Syed Mujahid Hussain
Categories:
Type: BOOK - Published: 2008 - Publisher:

GET EBOOK

This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data
Intraday Information, Trading Volume, and Return Volatility
Language: en
Pages: 148
Authors: Edward H. Chow
Categories: Stock exchanges
Type: BOOK - Published: 2004 - Publisher:

GET EBOOK