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Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange

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  • Karaa, Rabaa
  • Slim, Skander
  • Hmaied, Dorra Mezzez

Abstract

This paper investigates the impact of trading intensity and trading volume on return volatility using transaction data from the Tunis Stock Exchange. In our study, we find that long trade duration decreases stock return, supporting the assumption that periods of absence of trade are indicative of bad news. Our results reveal that contemporaneous total trading volume exerts a positive and greater effect on return volatility than trading intensity. In addition, the return volatility is found to be affected positively by both informed trading volume and bad news arrival.

Suggested Citation

  • Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018. "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, vol. 44(C), pages 88-99.
    • Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:88-99
    DOI: 10.1016/j.ribaf.2017.01.010
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    Cited by:

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    2. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Saif Siddiqui & Preeti Roy, 2019. "Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 239-252, September.

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    More about this item

    Keywords

    Ultra-high-frequency data; Volatility; Bad news; Informed trading;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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