Investor’s Trading Activity and Stock Market Volatility: International Evidence

• 발행기관: 한국자료분석학회
• 저자명: Ki Yool Ohk
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.13 No.5, 2253~2261쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2011.10.30

영문 초록

This study investigates whether investor’s trading activity is associated with market volatility and whether the relations between trading activity and volatility of the developed markets are different from ones of the emerging markets. This study extends one of Bessembinder and Seguin (1992) confined to the United States stock market to international ones. In the developed markets, all market return volatilities are positively related to unexpected volumes while these volatilities are insignificantly related to expected volumes. Also, in the emerging markets, all market return volatilities are positively related to unexpected volumes while these volatilities are insignificantly related to expected volumes. The empirical results imply that surprises in trading volume are much more important for explaining stock market volatility than some variation in the expected trading activity in the emerging markets as well as the developed markets.

목차

1. Introduction

2. Empirical Methods and Data

3. Empirical Results

4. Conclusion

References

키워드

Price volatility Trading activity Unexpected volume Emerging markets