Intraday Variability and Trading Volume: Evidence from National Stock Exchange
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709 citations
"Intraday Variability and Trading Vo..." refers background or result in this paper
...Bildik (2001), for instance analysed the intraday returns of Turkish market and reported the presence of ‘U’-shaped volatility. Copeland and Jones (2002) and Tian and Guo (2007) concluded similar evidence of high volatility during market opening and closing periods for the Korean market and Chinese marketmarkets such as China, respectively. However, a striking difference between the results of developed markets and some of the emerging markets such as China is the presence of ‘W’-shaped intraday patterns in prices and volume. This is because the institutional framework of financial markets in emerging economies is different from that of developed markets. Some emerging markets have systemic trading break during midperiod of the day (China). Therefore, during a trading halt, the volatility spike before and after the mid-day break is reflected as ‘W’-shaped curve. In the emerging market context, predominantly studies have analysed the markets of Turkey, Korea and China; on the contrary, there are very few results based on investigating intraday patterns of the emerging Indian equity context. Agarwalla, Jacob, and Pandey (2015) and Sampath and Arun Kumar (2015) are two such studies that have explored intraday volatility patterns in the Indian equity market....
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...Bessembinder and Seguin (1993) studied the relations between volume, volatility and market depth based on data from eight physical and financial futures markets (including two currencies, two metals, two agricultural commodities and two treasury bonds/bills). Using conditional estimates of returns and volatilities, the study indicated that volume shocks tended to have greater impact on volatility. This relation was found to be asymmetric—positive shocks have a higher impact than negative shocks—thus in line with the theory posited by Karpoff (1986, 1987) and empirically validated by Jain and Joh (1986). Chen, Firth, and Rui (2001) studied the dynamic relations between returns and volume of nine large and well-regulated stock market indices....
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...Bildik (2001), for instance analysed the intraday returns of Turkish market and reported the presence of ‘U’-shaped volatility....
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...Bessembinder and Seguin (1993) studied the relations between volume, volatility and market depth based on data from eight physical and financial futures markets (including two currencies, two metals, two agricultural commodities and two treasury bonds/bills)....
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...In the emerging market context, studies such as Bildik (2001) for Turkey and Tian and Guo (2007) for China provide empirical evidence of unusual market activity during opening and closing minutes based on intraday data....
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615 citations
"Intraday Variability and Trading Vo..." refers background or result in this paper
...The impact of positive returns on trading volume is significantly higher as compared to negative returns, thus concurring with the asymmetric return–volume hypothesis proposed by Karpoff (1986, 1987)....
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...However, Karpoff (1986, 1987) indicated that these findings are valid only in markets where short selling costs are higher than long positions....
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...10 These results observed for the Indian market are similar to the hypothesis by Karpoff (1987) about asymmetric...
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...Subsequently, Karpoff (1986, 1987) in the seminal studies outlined that positive associations exist between volume and absolute value of price changes, adding that the quantum of positive changes impact volume more than negative changes....
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...Examining the coefficients further, we observe that the slope for the negative price changes is negative, which signifies the fact that trading costs for short sales are higher compared to long positions (Karpoff, 1986)....
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452 citations
353 citations
"Intraday Variability and Trading Vo..." refers background or methods or result in this paper
...Copeland (1976) posited a model of sequential information arrival where the agents sequentially adjusted to arrival of new information, resulting in a positive correlation between price changes and volume. Some of the early studies that examined the relationship between daily returns and volume strongly indicated the presence of a positive association, implying information disclosure. These preliminary conclusions were based on results from the US market. However, Wood et al. (1985) comprehensively investigated intraday volatility patterns using NYSE listed stocks. Based on period-specific means and standard deviations, the study documented the presence of high variations in stock returns, trading volume and transactions during opening and closing periods. Further, at a transactional level, the study also crucially documented the presence of a positive relation between volume and quantum of price change. Harris (1986) further added to the evidence of a positive correlation between volume and price changes using 479 stocks of NYSE....
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...Copeland (1976) posited a model of sequential information arrival where the agents sequentially adjusted to arrival of new information, resulting in a positive correlation between price changes and volume. Some of the early studies that examined the relationship between daily returns and volume strongly indicated the presence of a positive association, implying information disclosure. These preliminary conclusions were based on results from the US market. However, Wood et al. (1985) comprehensively investigated intraday volatility patterns using NYSE listed stocks. Based on period-specific means and standard deviations, the study documented the presence of high variations in stock returns, trading volume and transactions during opening and closing periods. Further, at a transactional level, the study also crucially documented the presence of a positive relation between volume and quantum of price change. Harris (1986) further added to the evidence of a positive correlation between volume and price changes using 479 stocks of NYSE. Jain and Joh (1986) used aggregated hourly NYSE market data to report: (a) the presence of ‘U’-shaped returns and volume curve, (b) day-of-the-week effects in terms of volume and (c) a strong association between trading volume and absolute returns using regression frameworks....
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...To that end, our treatment of the data and estimation is like that of Chen et al. (2001). To the best of our knowledge, our study is one of the first to document the ‘U’-shaped intraday return process using robust statistical estimation....
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...Like Chen et al. (2001), we detrend the data to account for period- and day-specific effects and investigate the non-linear relationship between returns and time period....
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...Copeland (1976) posited a model of sequential information arrival where the agents sequentially adjusted to arrival of new information, resulting in a positive correlation between price changes and volume. Some of the early studies that examined the relationship between daily returns and volume strongly indicated the presence of a positive association, implying information disclosure. These preliminary conclusions were based on results from the US market. However, Wood et al. (1985) comprehensively investigated intraday volatility patterns using NYSE listed stocks....
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158 citations