Stock Market Volatility and Trading Volume : An Emerging Market Experience (Record no. 30488)
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000 -LEADER | |
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fixed length control field | 01914pab a2200205 454500 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 140923b0 xxu||||| |||| 00| 0 eng d |
040 ## - CATALOGING SOURCE | |
Transcribing agency | Welingkar Institute of Management Development & Research, Mumbai |
Original cataloging agency | Welingkar Institute of Management Development & Research, Mumbai |
041 ## - LANGUAGE CODE | |
Language code of text/sound track or separate title | ENG |
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | |
Item number | Kiy |
100 ## - MAIN ENTRY--PERSONAL NAME | |
Personal name | Kiymaz Halil |
245 ## - TITLE STATEMENT | |
Title | Stock Market Volatility and Trading Volume : An Emerging Market Experience |
250 ## - EDITION STATEMENT | |
Edition statement | 6 |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication, distribution, etc. | |
Name of publisher, distributor, etc. | Jun 2009 |
Date of publication, distribution, etc. | 0 |
300 ## - PHYSICAL DESCRIPTION | |
Extent | 5-32 Pp. |
490 ## - SERIES STATEMENT | |
Volume/sequential designation | 15 |
520 ## - SUMMARY, ETC. | |
Summary, etc. | This study investigates the relationship between daily returns and trading volume for 30 stocks included in the Istanbul Stock Exchange National-30 index. Study findings reveal that GARCH model is an appropriate model to mimic the conditionality of the second moments. The study finds that the persistency of conditional volatility is high and very close to unity, implying that current information can be used to predict future volatility. It also finds no leverage effect contradicting other studies reporting leverage effect. Speculative bubbles resulting from economic factors not justifying the rise in the market may cause these results. When trading volume is included in the analysis, the study finds that even though the persistence of the conditional volatility is present, it is lower with the introduction of volume. Finally, the decomposition of volume into expected and unexpected components shows that the expected component of volume significantly explains the variation in volatility. A vast majority of firms exhibit a decline in their volatility persistence. This result suggests that surprises in trading volume do not convey all the information associated with trading volume and that most information release is predictable.<br/><br/> |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Stock Market, Emerging Market |
856 ## - ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR10665.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR10665.pdf</a> |
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) | |
a | 31983 |
Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Date acquired | Cost, normal purchase price | Total Checkouts | Full call number | Barcode | Date last seen | Cost, replacement price | Price effective from | Koha item type |
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Main Library | Main Library | 06/06/2009 | 0.00 | Kiy | AR10665 | 23/09/2014 | 0.00 | 23/09/2014 | Articles |