Trading Volume And Market Efficiency PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Trading Volume And Market Efficiency PDF full book. Access full book title Trading Volume And Market Efficiency.
| Author | : Patel Ishaan |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2023-03-04 |
| Genre | : Business & Economics |
| ISBN | : 9785403184199 |
Download Trading Volume and Market Efficiency Book in PDF, ePub and Kindle
The literature on asset market and market microstructure has devoted surprisingly little attention to trading volume. Many economic models of financial markets and market microstructure have been developed to explain the predictability of prices (returns), and information content of it. However, far less attention has been devoted to explain the behavior of trading volume. To fill this gap in the literature, this study tries to expand our understanding of trading volume for an emerging market by empirically estimating econometric models using recently available daily volume data for individual securities listed on the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The analysis carried out serves several purposes: a) understand the motives for trade & the process by which trades are realized, b) the interaction between price and volume, and c) the roles that risk preferences and market frictions play in determining stock trading activity. Our empirical contributions include: (1) the construction of a volume based index for the Indian equity markets & comprehensive exploratory data analysis of the time-series behavior of trading volume; (2) modeling trading volume series using long-memory models and its forecasting performance; (3) estimation of dynamic price & volume relations using Markov Switching framework; and (4) a new approach for empirically identifying various factors determining the stock trading volume. The empirical result that stock trading volume is a long-memory process, does not affect market efficiency.
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
Download Efficiency and Anomalies in Stock Markets Book in PDF, ePub and Kindle
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
| Author | : Shoichi Mizusawa |
| Publisher | : |
| Total Pages | : 88 |
| Release | : 1993 |
| Genre | : Capital market |
| ISBN | : |
Download The Relationship Between Trading Volume and Returns in the Japanese Equity Market Book in PDF, ePub and Kindle
| Author | : Andrew Ang |
| Publisher | : Now Publishers Inc |
| Total Pages | : 99 |
| Release | : 2011 |
| Genre | : Business & Economics |
| ISBN | : 1601984685 |
Download The Efficient Market Theory and Evidence Book in PDF, ePub and Kindle
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
| Author | : Raghavendra Rau |
| Publisher | : Cambridge University Press |
| Total Pages | : 196 |
| Release | : 2017-01-11 |
| Genre | : Business & Economics |
| ISBN | : 1316984117 |
Download Short Introduction to Corporate Finance Book in PDF, ePub and Kindle
The Short Introduction to Corporate Finance provides an accessibly written guide to contemporary financial institutional practice. Rau deploys both his professional expertise and experience of teaching MBA and graduate-level courses to produce a lively discussion of the key concepts of finance, liberally illustrated with real-world examples. Built around six essential paradigms, he builds an integrated framework covering all the major ideas in finance over the past half-century. Ideal for students and practitioners alike, it will become core reading for anyone aspiring to become an effective manager.
| Author | : Rajeev R. Bhattacharya |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download An Option Theoretic Approach to Market Efficiency Book in PDF, ePub and Kindle
I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for market efficiency. I rely upon the theory of trading volume as a function of short sales costs, etc., and that of market efficiency as a function of trading volume, etc. derived by Bhattacharya (2019). I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs & constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive, and my results are robust to various econometric specifications and financial economic assumptions.
| Author | : Giovanni Majnoni |
| Publisher | : |
| Total Pages | : 74 |
| Release | : 1996 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Share Prices and Trading Volume Book in PDF, ePub and Kindle
| Author | : Maureen O'Hara |
| Publisher | : John Wiley & Sons |
| Total Pages | : 310 |
| Release | : 1998-03-06 |
| Genre | : Business & Economics |
| ISBN | : 0631207619 |
Download Market Microstructure Theory Book in PDF, ePub and Kindle
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
| Author | : Chiente Hsu |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 136 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642457657 |
Download Volume and the Nonlinear Dynamics of Stock Returns Book in PDF, ePub and Kindle
This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4.
| Author | : Daniel Friedman |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 1991 |
| Genre | : Floor traders (Finance) |
| ISBN | : |
Download Privileged Traders and Asset Market Efficiency Book in PDF, ePub and Kindle
