Stock Market Volatility and Trading Volume : An Emerging Market Experience (Record no. 30488)

MARC details
000 -LEADER
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
Holdings
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
        Main Library Main Library 06/06/2009 0.00   Kiy AR10665 23/09/2014 0.00 23/09/2014 Articles

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