Asymmetric Relationships between Unexpected Trading Activity and Stock Market Volatility

• 발행기관: 한국자료분석학회
• 저자명: Ki Yool Ohk
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.15 No.4, 1801~1809쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2013.08.30

영문 초록

This study finds support for an asymmetric relation between investors’ trading activity and stock return volatility. Ohk (2011) investigated relation between trading activity and stock market volatility in the emerging markets as well as the developed markets. This study extends one of Ohk (2011) by examining whether the market volatility responds symmetrically to trading activity shocks depending on whether volume is above or below its expected value across all countries. In the developed markets except for the United States, trading volumes above their expected level do not show any significant relationship between trading volumes and stock market volatility even though all market return volatilities are positively related to unexpected volumes. This study shows that there is a positive relationship between trading volume above the expected level and market volatility in the U.S.. In the emerging markets, Malaysia and Taiwan show positive relationships trading volumes above their expected level and market volatility. Indonesia shows a lower positive relationships trading volumes above the expected level and market volatility. Furthermore, in case market is highly volatile, whether the relations between volume shock and return volatility are different is examined.

목차

1. Introduction

2. Empirical Methods and Data

3. Empirical Results

4. Conclusion

References

키워드

Asymmetric relation Market volatility Unexpected trading activity Emerging markets