Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange

Karaa, Rabaa; Slim, Skander; Hmaied, Dorra Mezzez

doi:10.1016/j.ribaf.2017.01.010

Cited by 8 publications

(6 citation statements)

References 40 publications

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“…Overall, infrequently traded shares in DSE generate higher returns than frequently traded shares. This finding contradicts with that of Busse et al (2019) and Karaa et al (2018) who posited that frequently traded shares generate higher returns than less frequently traded shares.…”

Section: Resultscontrasting

confidence: 88%

“…Busse, Tong-Lin, Tong-Qing, & Zhang-Zhe (2019) found that shares which were frequently traded generated higher returns compared to shares which were infrequently traded. Similarly, Karaa, Slim, & Hmaied (2018) concluded that infrequently traded shares are associated with low returns. They stressed that infrequently trading or non-trading were the signals of bad news, which slows down the price of stock.…”

Section: Related Literaturementioning

confidence: 99%

See 1 more Smart Citation

Trading Frequency Anomalies in Infant Markets: The Test for Returns and Sensitivity of Shares and Portfolios

Moh’d¹,

Ramasamy²,

Mohamed³

2019

JFRM

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Beta, as a measure of risk based on market prices of shares, has been widely debated and researched in the strong, semi-strong and weak markets. It has been proved that there is neither negative nor abnormal beta. Past studies rarely considered frontier and infant markets such as Dar es Salaam Stock Exchange (DSE) while studying beta and its behavior. By means of the corresponding closing share prices of 17 companies during a continuous 246-day trading period in 2018 extracted from DSE database, this study examines the trading frequency anomalies in infant markets by testing returns and sensitivity of shares and portfolios. Through computing the betas of DSE traded shares, this study has found many abnormalities. The shares showed infrequent trading like bonds. The prices were constant over a short period of time, and sometimes the shares were not traded at all. Due to this small volatility, the shares showed abnormal behavior which resulted in negative beta sometimes. We concluded that this could be due to two major reasons. Firstly, there is insufficient knowledge on the share market among the East African investors and the public, and secondly, the markets are rather young and the trading platforms and infrastructures are not so well-established. We, therefore, suggest the policy makers to optimize share trading in the region by considering the findings of this study.

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Section: Resultscontrasting

confidence: 88%

Section: Related Literaturementioning

confidence: 99%

Trading Frequency Anomalies in Infant Markets: The Test for Returns and Sensitivity of Shares and Portfolios

Moh’d¹,

Ramasamy²,

Mohamed³

2019

JFRM

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show abstract

“…Causality is bidirectional for some countries. Karaa et al (2018) found that the volatility increased when trading intensity was substantially high. The impact of the volume was significantly higher than the intensity on volatility.…”

Section: Review Of Literaturementioning

confidence: 99%

“…The classical theories which form the premise of return-volume relation are the mixture of distribution hypothesis (MDH) and the sequential arrival of information hypothesis (SAIH). The proponents of the former view that the positive contemporaneous relation prevails between volume and return as identified by Clark (1973), Epps and Epps (1976), Karaa et al (2018), while the latter such as Copeland (1976) and Mahajan and Singh (2009) supported the gradual dissemination of information and found that return volatility Granger caused volume. Similarly, the negative return-volatility relation is classically characterized by fundamental theories like leverage and volatility feedback hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model

Siddiqui

Roy

2019

Decision

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The study explored a vital issue on market microstructure that is the relationship between volatility, index returns and trading volume within the Indian stock market. The daily closing prices of select indices, from 2 March 2009 to 31 July 2018, were taken. The investor's fear index India Volatility Index (VIX) was used as an implied volatility measure popularly the investor's fear index, whereas Nifty50 daily returns and trading volume were considered. Toda-Yamamoto causality test provided limited information about the causal relationship among the variables. The results of the Toda-Yamamoto test captured only the central values of the dependent variable's distribution; therefore, quantile regression models (QRM) were estimated. Through QRM, the asymmetric impact of returns was estimated on volume and volatility changes. The asymmetric relationship of stock returns with changes in volatility and volume distribution was found significant. It was found to be stronger at extreme ends of the dependent variable's distribution. The study supports the behavioural justification for a contemporaneous negative return-volatility relationship but conditionally.Evidence of investor's heterogenous beliefs is found. The evidence of leverage effect was also significant for the lagged period. The contemporaneous negative relationship was found between volatility and volume changes highlighting that the investors in Indian markets are risk-averse. But the positive lagged effect of changes in volatility on trading volume supports sequential arrival of information hypothesis and affirmed the presence of noise traders. They make the information arrival sequential and allow the slow diffusion of information. India VIX potentially can be used for portfolio hedging purposes.

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“…Additionally, studies by Louhichi (2011), Slim and Dahmene (2016), Karaa, Slim, and Hmaied (2018) related to stock markets found a positive relationship between volume and volatility.…”

Section: Literature Summarymentioning

confidence: 97%

Intraday analysis of regulation change in microstructure: evidence from an emerging market

Kadioglu

2021

IJOEM

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PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

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Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange

Cited by 8 publications

References 40 publications

Trading Frequency Anomalies in Infant Markets: The Test for Returns and Sensitivity of Shares and Portfolios

Trading Frequency Anomalies in Infant Markets: The Test for Returns and Sensitivity of Shares and Portfolios

Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model

Intraday analysis of regulation change in microstructure: evidence from an emerging market

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