- Out-of-Stock
Availability: Out of stock
Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market [extrait BMI 144]
- Write a review
€50.00
Tax included
Version numérique PDF
This paper investigates the relations between market turnover, stock returns and conditional volatility on the French stock market. Our database consists of monthly observations of 128 common stocks from April 1996 to October 2014. We aggregate data to study the market-wide relationships between turnover, returns and volatility. Using contemporaneous relations, bivariate vector autoregression (VAR), Granger causality test and impulse response functions, we find that market turnover is positively related to contemporaneous and past returns, which we interpret as evidence of the mixture of distributions hypothesis (MDH) and the investor overconfidence hypothesis. This suggests that stock returns help forecast volume. However, there is weaker evidence regarding the informative content of trading volume when forecasting returns.JEL classification: G10; G12; C32.Keywords: Turnover; Stock Market Returns; Var Analysis; Granger Causality Test; Impulse Response Functions.Auteurs :Miloudi Anthony
Extrait de la revue BMI 144
BMI144-1129614
New
16 other products in the same category:
Availability: Out of stock
Sommaire
Articles
- Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis
- Equity Option Listing and Underlying Market Quality: Evidence from a Price Duration Model
- Does the Catering Theory of Dividend Apply to the French Listed Firms?
Availability: Out of stock
Sommaire
Articles
- Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market
- Violating United Nations Global Compact Principles: An Event Study
- Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed
- Intergenerational Risk Trading and the Innovative Role of Equity- Wage Swaps
Availability: Out of stock
Sommaire
Articles
- Active Portfolio Management with Conditional Tracking Error
- Bank Acquisitiveness and Financial Crisis Vulnerability
- Is Macroeconomic Announcement News Priced?
Focus On
- Basel III and Bank Liquidity Creation
Availability: Out of stock
Sommaire
Articles
- Purchasing an Annuity: Now or Later? The Role of Interest Rates
- Does Corporate Social Performance Really Improve Corporate Financial Performance?
- Does the Market Value the Social Dimension? International Evidence
- When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- How Risky are Low-Risk Hedge Funds?
- Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach
- Multi-Asset Seasonality and Trend-Following Strategies
- New Insight on the Performance of Equity Long/short Investment Styles
- Editorial
