Examining the relationship between stock return volatility and trading volume: new evidence from an emerging economy

2015 ◽  
Vol 47 (18) ◽  
pp. 1899-1908 ◽  
Author(s):  
Shekar Bose ◽  
Hafizur Rahman
Keyword(s):  
Trading Volume ◽  
Stock Return ◽  
Emerging Economy ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
New Evidence ◽  
The Relationship

scholarly journals Foreign Ownership, Return Volatility, Trading Volume, and Risk of Stocks in Indonesia

2018 ◽  
Author(s):  
Ahmad Maulin Naufa ◽  
I Wayan Nuka Lantara
Keyword(s):  
Panel Data ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Indonesian Government ◽  
The Relationship

This study examines the relationship between foreign ownership and return volatility, trading volume, and risk of stocks at the Indonesia Stock Exchange (IDX). Panel data of selected companies listed on the LQ45 index of the IDX was employed for the period between 2011 and 2017. Foreign ownership was found to positively affect stock return volatility, trading volume, and risk. Hence, more substantial foreign ownership of stocks meant more drawbacks to Indonesian stocks. Therefore, there is a need for the Indonesian government to limit and regulate foreign shareholders in Indonesia.  

A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME

2000 ◽  
Vol 03 (03) ◽  
pp. 467-472 ◽  
Author(s):  
GIULIA IORI
Keyword(s):  
Transaction Costs ◽  
Trading Volume ◽  
Stock Return ◽  
Cross Correlation ◽  
Threshold Model ◽  
Feedback Mechanism ◽  
Return Volatility ◽  
Volatility Clustering ◽  
Stock Return Volatility ◽  
Future Trading

We propose a model with heterogeneous interacting traders which can explain the observed cross-correlation between stock return volatility and trading volume. Transaction costs are introduced which, by responding to price movements, create a feedback mechanism on future trading and generates volatility clustering.

scholarly journals The Primary Origin of the Financial Crisis

2021 ◽  
Author(s):  
Aloui Mouna ◽  
Jarboui Anis
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Simultaneous Equation ◽  
Independent Directors ◽  
Return Volatility ◽  
Outside Directors ◽  
Stock Return Volatility ◽  
Negative Effect ◽  
Primary Origin ◽  
The Relationship

This paper examines the relationship between the stock return volatility, outside directors, independent directors, and variable control using simultaneous-equation panel data models for a panel of 89 France-listed companies on the SBF 120 over the period of 2006–2012. Our results showed that the outside directors (FD) and audit size increase the stock return volatility. Furthermore, the results indicate that the independent directors and ROA have a negative effect on the stock return volatility; this result indicates that these variables contribute to decrease and stabilize the stock return volatility. This study employs a variety of econometric models, including feedback, to test the robustness of our empirical results. Also, we examine the relationship between the corporate governance and the stock returns volatility, exchange rate, and treasury bill using GARCH-BEKK model for a panel of 99 French firms over the period of 2006–2013.

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