 Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity marketP. B. Solibakke Applied Financial Economics, 2000, vol. 10, issue 3, 299-310 Abstract: This paper reports studies of the volatility of prices for individual stocks in the thinly traded Norwegian equity market during periods of trading and non-trading when the market is open for trading and closed. Building a model using Brownian motions, returns and variance ratios in trading and non-trading periods can be hypothesized. The model presents results that show an identical volatility in periods in which the market is open but no trades occur, and in periods of frequent trading. Furthermore, when the market is closed (weekends and holidays), the volatility is almost identical to consecutive days of trading. That is, the observed that on correspondence between return variance and transaction arrival is dependent on whether the market is open, and not simply on whether the stock is trading. This finding prevails after adjusting for non-synchronous trading using Poisson distributed trade arrivals. Date: 2000 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:10:y:2000:i:3:p:299-310 Ordering information: This journal article can be ordered from Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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