Intra-group and inter-group trading differentiation analysis: A new approach for detecting the effect of trading volume on stock market fluctuations

Meysam Bolgorian

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 23, 4403-4410

Abstract: Analyzing statistical properties of stock market data using statistical physics has received much attention from physicists and economists in recent years. Although some statistical characteristics of stock market data such as power-low tails of stock returns have become established fact, behavior of other related variables such as trading volume are less studied. In this paper, in order to examine the impact of trading volume on statistical properties of stock market returns, different trading behavior of different traders in Tehran Stock Exchange is analyzed. We define a new coefficient which measures the equilibrium between these different forces affecting the market at any given trading day. By adjusting market returns by this coefficient, we also assessed the impact of these forces on the statistical properties of stock market returns.

Keywords: Stock market; Trading volume (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:23:p:4403-4410

DOI: 10.1016/j.physa.2011.07.019

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