publication . Book . 2007

Trading volume and the number of trades:a comparative study using high frequency data

Izzeldin, Marwan;
Open Access English
  • Published: 01 Jan 2007
  • Publisher: The Department of Economics
  • Country: United Kingdom
Abstract
Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the bette...
Related Organizations
Download from

Andersen, T . G. (1996) Return volatility and trading volume: An information flow Interpretation of stochastic volatility, The Journal of Finance, 51 (1), 169-204.

Andersen T. G., T. Bollerslev, F. X. Diebold & H. Ebens (2001) The distribution of realised stock return volatility, Journal of Financial Economics, 61, 43-76.

Ané, T. & H. Geman (2000) Order flow, transaction clock, and normality of asset returns, The Journal of Finance, 55(5), 2259-2284.

Barndorff-Nielsen, O. E. & N. Shephard (2002) Econometric analysis of realized volatility and its use in estimating volatility models, Journal of the Royal Statistical Society Series B 64, 253 - 280.

Bollerslev, T., Chu R.Y. & K. F. Kroner (1994) ARCH modeling in finance: A selective review of the theory and empirical evidence, Journal of Econometrics 52, 5-59.

Clark, P. K. (1973) A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41(1), 135-155.

Crouch, R. L. (1970) A nonlinear test of the random-walk hypothesis, American Economic Review, 60, 199-202. [OpenAIRE]

Easley, D. & M. O.Hara (1992) Time and the process of security price adjustment, The Journal of Finance, 47 (2), 577-605. [OpenAIRE]

Easley, D., N. Kiefer & M. O.Hara (1997) One day in the life of a very common stock, Review of Financial Studies, 10, 805- 835. [OpenAIRE]

Engle, R. F (2001) GARCH 101: The use of ARCH/GARCH models in applied economics, Journal of Economic Perspectives, 15, 157 - 168.

Epps, W. & M. Epps (1976) The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distribution hypothesis, Econometrica, 44 (2), 305-321. [OpenAIRE]

Gallant, A. R., J. Rossi & G. Tauchen (1992) Stock prices and volume, Review of Financial Studies, 5, 199-242. [OpenAIRE]

Powered by OpenAIRE Research Graph
Any information missing or wrong?Report an Issue