Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
Athanasios Tsagkanos (),
Konstantinos Gkillas (),
Christoforos Konstantatos () and
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Athanasios Tsagkanos: Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, Greece
Konstantinos Gkillas: Department of Management Science & Technology, University of Patras, Megalou Aleksandrou 1, Koukouli, 26334 Patras, Greece
Christoforos Konstantatos: Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, Greece
IJFS, 2021, vol. 9, issue 2, 1-13
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.
Keywords: volatility; volume; realized measures; intraday data; extreme value theory; banks; Greece (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:9:y:2021:i:2:p:24-:d:544999
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