The Dynamic Relationship between Stock Volatility and Trading Volume from the Athens Stock Exchange
Journal Title: International Journal of Empirical Finance - Year 2014, Vol 3, Issue 3
Abstract
The aim of this study is to examine the relationship between trading volume, change in trading volume and returns of Athens Stock Exchange index for the period of 25 June 2014 until 9 May 2014 through the comparison of various conditional heteroskedasticity models. In this study, GARCH model is chosen because it gives better estimations in modeling return volatility. The results of GARCH models indicate a significant positive relationship between trading volume and change in trading volume and returns of ASE index. Finally, this study also investigates the dynamic relationship between trading volume and change in trading volume and returns on ASE index using VAR models for the cointegration test, causality test, impulse response function and analysis of forecast error variance decomposition. The dynamic models show a directional causality between trading volume, change in trading volume and returns on ASE index from trading volume and change in trading volume to returns on ASE index.
Authors and Affiliations
Chaido Dritsaki
Keywords
Related Articles
- EP ID EP27167
- DOI -
- Views 362
- Downloads 12
Impact of Capital Structure on Profitability of Commercial Banks Listed on Karachi Stock Exchange
This study investigates the impact of capital structure on the profitability of Pakistan commercial banks listed on Karachi Stock Exchange (KSE) by applying fixed and random effects on panel data of 15 listed Commercia...
The Incentive Effect of Regulatory Capitals Requirement: Empirical Evidence from Nigeria
The divergence of opinion between policy makers and academic researchers, as to which of the first two capital requirements (Tier 1 and 2 capitals)exerts more influence on the attitude of banks towards risk, has led to...
Using Index for Predicting Banking Crisis in Asian Countries
This study aims to develop predictive models of the banking crisis in Asia by utilizing methods of measurement indices in the banking crisis. The CD index is used as a measure of the crisis which includes four componen...
Accounting Information Management and Performance of Small Business Enterprises in Mbale Municipality
The study sought to establish the relationship between accounting information management and performance of Small Business Enterprises (SBEs) in Mbale municipality. A cross sectional and co-relational design was used w...
Impact of Financial Leverage on Firm’s Investment in Listed Hotels and Travels Companies in Sri Lanka
Leverage is a technique magnifies gain and loss. High leverage may be beneficial in boom periods; it may cause serious cash flow problems in recessionary periods. So this research study examines the impact of financial...