Dynamic Relationship Between Stock Return Trading Volume And Volatility In The Stock Exchange Of Thailand PDF Download
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Author | : Komain Jiranyakul |
Publisher | : |
Total Pages | : 12 |
Release | : 2016 |
Genre | : |
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Download Dynamic Relationship Between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand Book in PDF, ePub and Kindle
Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The results may give understanding on how investors make their trading decisions that can affect portfolio adjustment.
Author | : Gong-meng Chen |
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Total Pages | : |
Release | : 2002 |
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Download The Dynamic Relation between Stock Returns, Trading Volume, and Volatility Book in PDF, ePub and Kindle
We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from 1973 to 2000. The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns. Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets.
Author | : |
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Total Pages | : 21 |
Release | : 2006 |
Genre | : Stocks |
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Download The Causal and Dynamic Relationship Between Stock Returns and Trading Volume Book in PDF, ePub and Kindle
Author | : Anucha Ratanaparadorn |
Publisher | : |
Total Pages | : 126 |
Release | : 2017 |
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Download Stock-return Volatility and Intraday Equity Trading by Investor Typesin Thailand Book in PDF, ePub and Kindle
I examine the intraday stock-return volatility pattern and relationship between the volatility and intraday trading by individual, institutional, foreign and proprietary investors in the Stock Exchange of Thailand. The volatility pattern of SET100 during January 2010 through December 20161 follows the L-shape in the morning and muted U-shape the afternoon session which is consistent with findings from many stock markets around the world. For large-size stocks, the net purchase of informed (institutional and foreign) investors with the net sale of less-informed (individual) investor drive the positive volatility effect. This result is always significant; however, cannot be explained by information-based explanation but rather more aligned with liquidity-driven explanation. For small stocks, the net proprietary trading has an increasing impact on volatility, which is consistent with liquidity pressure explanation. This result is significant and robust to different size of the portfolio and different measure of the volatility after controlling for lagged volatilities, number of trades, average trade size, opening, closing and Monday effect.
Author | : Patcharin Limlomwongse |
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Total Pages | : 224 |
Release | : 1992 |
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Download Dynamics of Stock Returns and Trading Volume on the Thai Securities Market Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : Rate of returen |
ISBN | : 9789741757855 |
Download Politics and Stock Returns: Evidence from Thailand Book in PDF, ePub and Kindle
Author | : Kasidit Praneechit |
Publisher | : |
Total Pages | : 64 |
Release | : 2016 |
Genre | : |
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Download Stock Market Volatility, Trading Volume and Tranding Styles by Investor Groups Book in PDF, ePub and Kindle
Author | : Worraport Kittikajonassawachot |
Publisher | : |
Total Pages | : 280 |
Release | : 2002 |
Genre | : Stock exchanges |
ISBN | : 9789743276286 |
Download Stock Return, Volatility, Market Liquidity and Earning in the Stock Exchange of Thailand Book in PDF, ePub and Kindle
Author | : Bramantyo Djohanputro |
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Total Pages | : |
Release | : 1997 |
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Download A Study of the Relationships Between Returns, Volatility, and Trading Volume at the Market and Individual Share Levels Using the Jakarta Stock Exchange Book in PDF, ePub and Kindle
Author | : Supachok Thakolsri |
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Total Pages | : |
Release | : 2016 |
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Download Asymmetric Volatility of the Thai Stock Market Book in PDF, ePub and Kindle
This study employs the daily data of the Stock Exchange of Thailand to test for the leverage and volatility feedback effects. The period of investigation is during January 4, 2005 to December 27, 2013, which includes the Subprime crisis period in the US that might affect the volatility of stock market return in emerging stock markets. The results from this study show that the US subprime crisis imposes a minimal positive impact on volatility. In addition, the estimations of the three parametric asymmetric volatility models give the results showing some evidence of the volatility feedback and leverage effects. The findings give implications for portfolio diversification and risk management.