Trading Volume, Stock Returns and Return Volatility - Couverture souple

Shrestha, Shiva Ram

Couverture souple

ISBN 10 : 6202316276 ISBN 13 : 9786202316279

Editeur : Scholars' Press, 2018

Synopsis

The research design adopted in this study consists of descriptive, correlation and causal comparative research design to analyze the dynamic relationship between trading volume, stock returns and return volatility. This study is examined by using secondary sources of volume and return data series. The primary data has been used to evaluate the findings of result from secondary data. The foremost conclusion of the study is that there is a positive and a significant correlation between stock returns and return volatility. The study records the evidence of a significant relationship of causality following from volatility to trading volume which contradict the mixture of distributions hypothesis and support the sequential information arrival hypothesis. Volume Granger caused stock returns but stock returns did not Granger caused volume. Preceding return volatility can be seen as some evidences that new information arrival might follow a sequential rather than a simultaneous process. This implies that a strong form of market efficiency does not hold since some private information exists that is not reflected in stock prices.

Détails de l'édition

• Éditeur: Scholars' Press
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 6202316276
• ISBN 13: 9786202316279
• Reliure: Broché
• Nombre de pages: 184
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible