Advanced Search
MyIDEAS: Login to save this article or follow this journal

The impact of trading volume on stock return distributions : an empirical analysis

Contents:

Author Info

  • Tom Berglund

    (Research Institute of the Finnish Economy)

  • Eva Liljeblom

    (Swedish School of Economics and Business Administration)

Abstract

This 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 Info

If 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.
File URL: http://taloustieteellinenyhdistys.fi/images/stories/fep/f1990_2b.pdf
Download Restriction: no

Bibliographic Info

Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

Volume (Year): 3 (1990)
Issue (Month): 2 (Autumn)
Pages: 108-124

as in new window
Handle: RePEc:fep:journl:v:3:y:1990:i:2:p:108-124

Contact details of provider:
Web page: http://www.taloustieteellinenyhdistys.fi
More information through EDIRC

Related research

Keywords:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fep:journl:v:3:y:1990:i:2:p:108-124. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Secretary).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.