Relationship between trading volume, stock return and return volatility: A case of Nepalese insurance companies

Abstract

This study examines the factors affecting the share price of Nepalese non-life insurance companies. The knowledge of the factors and their possible impact on share prices is highly appreciable as it would help investors make wise investment decisions and enable firms to enhance their market value. This study is based on secondary data of 15 non-life insurance companies which are listed in Nepal stock exchange. The study covers seven years period from the fiscal year 2011/12 to 2017/18. The result shows that firm size is positively related to market price of share and price earnings ratio. It indicates that larger firm size leads to increase in market price of share and price earnings ratio. However, the study shows that inflation is negatively related to market price of share and price earnings ratio. The study also shows that dividend per share and return on assets are negatively related to the market price of share and price earnings ratio. Similarly, earnings per share have negative relationship with market price of share and price earnings ratio. The study concludes that the increase in return on assets and earnings per shares do not explain the variation in stock price in Nepalese non-life insurance companies. Nepal is one of the emerging economy; the determinants identified may provide knowledge to the potential investors about the key factors affecting share prices in the country and accordingly assist them in optimizing their investment strategy.

The Impact of Covid-19 Outbreaks on Indonesia’s Automotive and Paper Industry Stock Return

“…It means that H5 which states that trading volume has a significant positive effect on stock returns is accepted. This significant positive effect is in accordance with research Al-Samman and Al-Jafari (2015) and Acharya and Pradhan (2019). Stock trading volume shows the number of buying and selling transactions of a company's shares at a certain time.…”

“…Al-Samman and Al-Jafari (2015), Acharya and Pradhan (2019) explain that trading volume has a significant positive effect on stock returns, in contrast to Taslim and Wijayanto (2016) which shows that trading volume has no effect on stock returns. Therefore, to address this research gap, an in-depth study was conducted regarding the effect of COVID-19 on company stock returns, with different research periods and research subjects.…”

“…, market capitalization can be formulated as follows: MCAP = Ln (O/St x Pt) Whereas: MCAP : Market Capitalization O/St : Outstanding Share on day t Pt : The closing price of the company's shares on day tTrading VolumeTrading volume is the number of shares traded by a company in a transaction period. Trading volume is very volatile and can change very quick based on the information submitted by the company(Acharya and Pradhan, 2019). The greater the volume of stock trading shows that more and more investors are interested in the stock.…”

The Relationship Between Bitcoin Returns, Volatility, And Volume Using Asymmetric Garch Modelling

“…Research on the relationship between, return, volatility, and volume has been carried out previously by several previous studies, namely (Acharya & Pradhan, 2019;Chiang et al, 2010;Chuang et al, 2012;Mahajan & Singh, 2013;Medeiros & Doornik, 2006;Miseman et al, 2019) but with the stock object. They use different stock objects, Medeiros & Doornik (2006) use Brazilian stock market, Chiang et al (2010) use NASDAQ stock market, Chuang et al (2012) use Asian stock market, Mahajan & Singh (2013) use Indian stock market, Miseman et al (2019) use South Asian markets, and Acharya & Pradhan (2019) use Nepal Stock market. They argue that trading volume has a relationship or effect on return and volatility.…”