Trading Volume, Volatility And Leverage: An Analysis in the Stock Market of Mauritius - Couverture souple

Rawoo, Ayesha

Couverture souple

ISBN 10 : 3845438029 ISBN 13 : 9783845438023

Editeur : LAP Lambert Academic Publishing, 2011

Synopsis

Knowledge of volatility is of crucial importance in many areas. The Stock Market of Mauritius did not remain untouched. This paper explores the relationship between trading volume, volatility and leverage in the Stock Market of Mauritius. In contrast to other studies which examine the SEMDEX or the SEM by sector, we examine the relationship for 35 listed stocks on the SEM. Daily return, volume and the SEMDEX is used for the period 2005 to 2009. We also emphasize on the impact of trading volume. The analysis shows that there exist substantial ARCH effect and volatility shocks are quite persistent in the market. The impact of both recent and old news can be found. The study also finds evidence of leverage and asymmetric effect on the Stock Market. Consistent with the results of Lamoureux and Lastrapes (1990), our results shows that the persistence of volatility decreases after volume is included in the model.

A propos du livre

À propos de l?auteur

Miss Rawoo Ayesha has successfully completed her Bsc(Hons) Finance at the University of Mauritius. Her Research is mainly based on Trading volume, volatility and leverage : an analysis in the stock market of Mauritius.

Détails de l'édition

• Éditeur: LAP Lambert Academic Publishing
• Date d'édition: 2011
• Langue: anglais
• ISBN 10: 3845438029
• ISBN 13: 9783845438023
• Reliure: Broché
• Nombre de pages: 64
• Coordonnées du fabricant: non disponible
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