The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds

Bogdan Negrea, Lucian Tatu and Andreea Stoian

Theoretical and Applied Economics, 2008, vol. 11(528), issue 11(528), 31-36

Abstract: The aim of this paper is to investigate the relationship between trade volume, number of transaction and daily volatility for Romanian Financial Investments Funds. There is a large debate on this topic. The empirical results of previous literature showed that there is a strong relationship between these varables. Using OLS regressions we found that trade volume has a larger impact on daily volatility compared to the influence of number of transactions which could be considered as a proxy for liquidity.

Keywords: volatility; trade volume; number of transactions; liquidity; capital market. (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:11(528):y:2008:i:11(528):p:31-36

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