 The Relationship Between Trading Volume and Returns Volatility on Warsaw Stock ExchangeLesław Markowski ()
A chapter in Contemporary Trends and Challenges in Finance, 2021, pp 43-55 from Springer Abstract: Abstract This study examined the relationships between conditional variance of individual stock returns and trading volume and mixed variable in terms of trading volume with price movement indicator. The main problem is to define the role of volume as such, and in the context of price change in the perception of information, often private information, by traders. Using GARCH(1) model specification in the sample of 10 stocks listed on the Warsaw Stock Exchange the results reveal a decreasing of volatility persistence in nine stocks when contemporaneous trading volume was added to the variance equation. The model with price indicator variables demonstrates a reduction of the persistence in three stocks compared to the model with trading volume alone. Moreover, for more stocks the upward price movement has a greater impact on volatility than the downward price movement. The combined variables, volume and indicator of price movement direction have positive and statistically significant influence on returns’ variation. Date: 2021 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-73667-5_3 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-73667-5_3 Access Statistics for this chapter More chapters in Springer Proceedings in Business and Economics from Springer |
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