Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System

Abstract

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.

Supporting Culture to Improve Corporate Image: The Case of Greek Banks

“…More specifically, the value of Greek banks stock equities was annihilated, thus resulting at a huge economic loss for shareholders [61,62]. Moreover, on June 2015, banks were shut down and capital controls were imposed to withdrawals and transactions in an attempt to avoid an uncontrolled bank run [63]. In the same period, the financing of companies and individuals through loans became very difficult and limited.…”

Stochastic Patterns of Bitcoin Volatility: Evidence across Measures

“…Also, volatility plays a key role in the financial sector and everyone's interest is focused on the level and nature of volatility [6,7]. Finally, over the years, volatility may change leading to modeling with stochastic models [8,9]. Moreover, the market's immaturity, characterized by a lack of established theoretical frameworks and stringent regulations, adds complexity to modeling efforts.…”