The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds
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 t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2008-11-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/347.pdf
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| _version_ | 1819364724398096384 |
|---|---|
| author | Bogdan Negrea Lucian Tatu Andreea Stoian |
| author_facet | Bogdan Negrea Lucian Tatu Andreea Stoian |
| author_sort | Bogdan Negrea |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-24T23:03:29Z |
| format | Article |
| id | doaj.art-2aee0dd2bea745bd8e2e1b2a72e15973 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-12-24T23:03:29Z |
| publishDate | 2008-11-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-2aee0dd2bea745bd8e2e1b2a72e159732022-12-21T16:35:04ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292008-11-01XV1118418678The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments FundsBogdan Negrea0Lucian Tatu1Andreea Stoian2 Academy of Economic Studies, Bucharest 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. http://store.ectap.ro/articole/347.pdf volatilitytrade volumenumber of transactionsliquiditycapital market |
| spellingShingle | Bogdan Negrea Lucian Tatu Andreea Stoian The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds Theoretical and Applied Economics volatility trade volume number of transactions liquidity capital market |
| title | The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds |
| title_full | The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds |
| title_fullStr | The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds |
| title_full_unstemmed | The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds |
| title_short | The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds |
| title_sort | impact of trades on daily volatility an empirical study for romanian financial investments funds |
| topic | volatility trade volume number of transactions liquidity capital market |
| url |
http://store.ectap.ro/articole/347.pdf
|
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