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


  • Bogdan Negrea

    (Academy of Economic Studies, Bucharest)

  • Lucian Tatu

    (Academy of Economic Studies, Bucharest)

  • Andreea Stoian

    (Academy of Economic Studies, Bucharest)


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.

Suggested Citation

  • Bogdan Negrea & Lucian Tatu & Andreea Stoian, 2008. "The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(528)), pages 31-36, November.
  • Handle: RePEc:agr:journl:v:11(528):y:2008:i:11(528):p:31-36

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