The impact of trading volume on stock return distributions : an empirical analysis
AbstractThis paper studies the relationship between the trading volume on the stock exchange and the properties of corresponding stock returns. The properties to be analyzed are: the dispersion of the returns, i.e. the volatility of the stock prices, the degree of leptokurtosis in the returns, and finally, the serial correlation in returns. The comparison of a low turnover with a high turnover period for the Helsinki Stock Exchange reveals that for the high turnover period the leptokurtosis of the return distributions is lower, as expected. Contrary to expectations stock price volatility is higher. Finally, on serial correlation the results are mixed, which can be explained by a non-linear pattern of serial correlation during the high turnover period. The results imply that considerable caution is warranted in empirical research which coverS substantial shifts in the level of trading activity on the exchange.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Finnish Economic Association in its journal Finnish Economic Papers.
Volume (Year): 3 (1990)
Issue (Month): 2 (Autumn)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Goldman, M Barry & Beja, Avraham, 1979. "Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist," Journal of Finance, American Finance Association, vol. 34(3), pages 595-607, June.
- Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Secretary).
If references are entirely missing, you can add them using this form.