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The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds

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Author Info
Bogdan Negrea (Academy of Economic Studies, Bucharest)
Lucian Tatu (Academy of Economic Studies, Bucharest)
Andreea Stoian (Academy of Economic Studies, Bucharest)

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Abstract

The aim of this paper is to investigate the relationship between trade volume, number of transaction and daily volatility for Romanian Financial Investments Funds. There is a large debate on this topic. The empirical results of previous literature showed that there is a strong relationship between these varables. Using OLS regressions we found that trade volume has a larger impact on daily volatility compared to the influence of number of transactions which could be considered as a proxy for liquidity.

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Publisher Info
Article provided by Asociatia Generala a Economistilor din Romania - AGER in its journal Theoretical and Applied Economics.

Volume (Year): 11(528) (2008)
Issue (Month): 11(528) (November)
Pages: 31-36
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Handle: RePEc:agr:journl:v:11(528):y:2008:i:11(528):p:31-36

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Related research
Keywords: volatility; trade volume; number of transactions; liquidity; capital market.;

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This page was last updated on 2009-11-25.

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