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Hourly Returns, Volume, Trade Size, and Number of Trades

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Author Info

  • McInish, Thomas H
  • Wood, Robert A

Abstract

Previous research identifies a causal relationship between returns and trading volume. But volume has two components: number of trades and number of shares per trade. In this paper the relationship between each of these volume components and returns is examined and the number of trades is found to be the dominant component. Results show that return activity in a period is associated with the level of trading frequency in a subsequent period and also with the number of shares in a subsequent period. This is consistent with small traders reacting to returns while professional traders largely ignore previous returns in their trading.

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Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 14 (1991)
Issue (Month): 4 (Winter)
Pages: 303-15

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Handle: RePEc:bla:jfnres:v:14:y:1991:i:4:p:303-15

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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Web page: http://www.southwesternfinance.org/
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Cited by:
  1. Block, Stanley B. & French, Dan W. & Maberly, Edwin D., 2000. "The Pattern of Intraday Portfolio Management Decisions: A Case Study of Intraday Security Return Patterns," Journal of Business Research, Elsevier, vol. 50(3), pages 321-326, December.
  2. Marchant, Carolina & Bertin, Karine & Leiva, Víctor & Saulo, Helton, 2013. "Generalized Birnbaum–Saunders kernel density estimators and an analysis of financial data," Computational Statistics & Data Analysis, Elsevier, vol. 63(C), pages 1-15.
  3. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  4. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
  5. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  6. Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
  7. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
  8. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
  9. Moulton, Pamela C., 2005. "You can't always get what you want: Trade-size clustering and quantity choice in liquidity," Journal of Financial Economics, Elsevier, vol. 78(1), pages 89-119, October.
  10. Zou, Liping & Rose, Lawrence C. & Pinfold, John F., 2006. "Intra-night trading behaviour of Australian treasury-bond futures overnight options," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 415-433.

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