Stock Market Volatility and Trading Volume: A Special Case in Hong Kong With Stock Connect Turnover

Chan, Brian Sing Fan; Cheng, Andy Cheuk Hin; Chun, Alfred Ka

doi:10.3390/jrfm11040076

Cited by 4 publications

(3 citation statements)

References 18 publications

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“…The integration of the futures market with the spot market is one of the most relevant areas of this paper. Though there are studies between these two markets, only a few discuss the integration of volatility in both markets (Bessembinder and Seguin 1992;Chan et al 2018;Chang et al 2017;Qin et al 2018). Most of the studies are on prices, returns, and price discovery in one market caused by the other markets.…”

Section: Review Of Literaturementioning

confidence: 99%

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Rastogi

Athaley

2019

JRFM

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The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options, in order to provide input for hedging purposes and the formulation of policies for derivatives. The generalized method of moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the volatility in the options market is not associated with volatility in spot and futures market. However, volatility in spot and futures markets are associated with each other. As a consequence, investors can use options for hedging purposes and policy makers do not need to be concerned about the imminent impact of options markets on spot markets. To the best of the authors’ knowledge, there is no other study which discusses the integration of volatility in the three markets. Moreover, the finding of this paper that the options market behaves differently compared to the futures market has also not been discussed in earlier studies.

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Section: Review Of Literaturementioning

confidence: 99%

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Rastogi

Athaley

2019

JRFM

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“…Perubahan aset harga dan volume perdagangan adalah karena proses kedatangan informasi dasar yang sama dan karenanya volume dan volatilitas berkolerasi (Chan et al, 2018). Volume perdagangan yang besar menunjukkan bahwa saham tersebut sangat diminati oleh banyak investor.…”

Section: Volume Perdaganganunclassified

Faktor-Faktor Yang Mempengaruhi Ihsg Pada Perusahaan Perbankan Tahun 2015-2019

Neldi

Syahira

Elfiswandi

et al. 2021

JMPIS

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The research aims to determine the effect of the inflation rate, exchange rate,interest rate, and trading volume on the Composite Stock Price Index. Sampling using the Purposive Sampling method acquired 26 companies. The analysis method used is multiple linear regression analysis using SPSS. The results of partial study (Uji-t) show that the inflation rate, exchange rate, and interest rate have a significant effect on the Composite Stock Price Index, while trading volume has no significant effect. The F test results jointly the inflation rate, exchange rate, interest rate, and trading volume have a significant effect on the Composite Stock Price Index. The coefficient of determination (R2) test result also shows that the inflation rate, exchange rate, interest rate, and trading volume have a significant effect on the Composite Stock Price Index of 0,400 or 40,0% while the remaining 60,0% is influenced by other variables outside of this study.

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“…The ability of entity management to create assets value added and assets liquidity can provide a signal of good news to the stock market so that stock liquidity can be expected to increase, stock liquidity can be a measure to find out which stock is in demand by investors, the higher the investors' interest in a stock, Additionally, the shares' liquidity will rise. (Margaretha, 2005), a share that is frequently traded in the stock market can be viewed from the standpoint of the frequency and volume of share trading, previous research related to stock liquidity includes a focus on stock trading volume (B. S. F. Chan et al, 2018;Song et al, 2005), there is also a focus on trading frequency (Cartea & Penalva, 2012;Morgan, 2013;Rossi et al, 2015), there is also a focus on the Illiquidity ratio, the log of the number of daily cash flows on the company's shares, the bid-ask spread (Al-jaifi, 2017;Bhattacharya et al, 2019;Mardani et al, 2018;Tissaoui et al, 2018;Toh et al, 2018) while in this research stock liquidity is seen from the perspective of stock trading frequency.…”

Section: Introductionmentioning

confidence: 99%

Assets Value Added and Assets Liquidity on Stock Liquidity

Pandiangan¹,

Basri²,

Mayangsari³

2023

IJFBS

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The purpose of this study is to determine the impact of assets value added and assets liquidity to stock liquidity in the context and evidence in Indonesia and in relatively different situations and conditions. The novelty of this research is in the assets value added using net value-added measurements, the research was conducted in the context and evidence in Indonesia, this research was conducted in two different situations, namely 2018-2019 (before the corona virus occurred) and 2020 (the corona virus occurred). The contribution of this research fills the narrow research gap in the field of stock liquidity from the perspective of assets value added in the context and evidence in Indonesia. The population in this research are entities listed on the Indonesia Stock Exchange with a research sample of entities categorized as manufacturing entities, research year 2018-2020, data analysis methods in this research used multiple regression, moderate regression (MRA). Main Findings: (i) Assets Value Added, Assets Liquidity and Information Asymmetry simultaneously effect Stock Liquidity. (ii) Stock Liquidity is positively impacted by Assets Value Added. (iii) Stock Liquidity is negatively impacted by Assets Liquidity. (iv) Information asymmetry weakens the impact of Assets Value Added to Stock Liquidity. (v) Information asymmetry strengthens the impact of Assets Liquidity to Stock Liquidity. The results of this study provide evidence in favor of information asymmetry theory and signal theory.

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Stock Market Volatility and Trading Volume: A Special Case in Hong Kong With Stock Connect Turnover

Cited by 4 publications

References 18 publications

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Faktor-Faktor Yang Mempengaruhi Ihsg Pada Perusahaan Perbankan Tahun 2015-2019

Assets Value Added and Assets Liquidity on Stock Liquidity

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