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Factors Effecting Trading Volume: A Test of Mixed Distribution Hypothesis

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  • Izz Eddien N. Ananzeh

Abstract

This paper investigates the empirical relationship between trading volume and conditional volatility using data from Amman Stock Exchange (ASE) within the framework of Mixed Distribution Hypothesis (MDH). Our sample covered 27 securities, which is most active stocks traded for the period span from 2002 to 2012. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) k Exchange model employed in order to test the persistence in the volatility of stock returns. Our results confirm positive and strong relationship between trading volume for individual stocks and conditional volatility of returns. Moreover, the degree of volatility persistence reduced through the process of adding the contemporaneous volume into the conditional variance equation of GARCH model, and this is according to the predictions of the Mixture of Distributions Hypothesis (MDH).

Suggested Citation

  • Izz Eddien N. Ananzeh, 2015. "Factors Effecting Trading Volume: A Test of Mixed Distribution Hypothesis," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(4), pages 207-216, October.
    • Handle: RePEc:jfr:ijfr11:v:6:y:2015:i:4:p:207-216
    DOI: 10.5430/ijfr.v6n4p207
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    Cited by:

    1. Hassan Ezzat & Berna Kirkulak- Uludag, 2017. "Information Arrival and Volatility: Evidence from the Saudi Stock Exchange (Tadawul)," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 64(1), pages 45-59, December.

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