Speculation or hedging in the Irish stock exchange
AbstractThis study provides some evidence on the speulation or hedging motives of traders as extracted from the recent Llorente et al . (2002) model, for the Irish stock exchange. It is clear that the findings of Llorente et al. and Ciner (2003) do not transfer well to the Irish case. The more complex the econometric methodology the less the propositions of the model are supported by the data. A simple model provides evidence of significant speculation in the Irish market, while a more complex GARCH formulation with volume included as an explanatory variable in the conditional variance provides little support for the propositions of Llorente et al . Further research therefore is indicated.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 1 (2005)
Issue (Month): 1 (January)
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- Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2001.
"Dynamic Volume-Return Relation of Individual Stocks,"
NBER Working Papers
8312, National Bureau of Economic Research, Inc.
- Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002. "Dynamic Volume-Return Relation of Individual Stocks," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1005-1047.
- M. F. Omran & E. McKenzie, 2000. "Heteroscedasticity in stock returns data revisited: volume versus GARCH effects," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 553-560.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
- Ciner, Cetin & Karagozoglu, Ahmet K., 2008. "Information asymmetry, speculation and foreign trading activity: Emerging market evidence," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 664-680, September.
- Cetin Ciner, 2006. "Hedging or speculation in derivative markets: the case of energy futures contracts," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 189-192, May.
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