Trading Volume, Trading Price, Trading frequency and Stock Return Volatility of Everest Bank Limited
نویسندگان
چکیده
The primary objective of this study is to measure the relationship between stock returns, trading volume, frequency and price volatility Everest Bank Limited. We analyzed studies using descriptive randomized comparative studies. A 12-year panel data set was used. 1873 observations are draw correct conclusions about study. Descriptive models provide on average volatility. EBL investors have faced high risk when investing in stocks for 12 years. There an important positive them. Likewise, volume a significant impact returns.
منابع مشابه
A Bayesian analysis of stock return volatility and trading volume
The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted as the volatility. Using GMM estimation Andersen finds that the persistence in this latent process fa...
متن کاملAsymmetric Impact of Informed Trading Activity on Stock Return Volatility
Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of infor...
متن کاملTrading Network Predicts Stock Price
Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...
متن کاملTrading frequency and volatility clustering
Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model that is able to generate volatility clustering with hyperbolically decaying autocorrelations via traders with multiple trading frequencies, using Bayesian information updates in an incomp...
متن کاملPrice Momentum and Trading Volume
This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many glamour ~value! characteristics, earn lower ~higher! future returns, and have consistently more negative ~positive! earnings surprises over the next eight quarters. Past trading volume also predicts bot...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Pravaha
سال: 2022
ISSN: ['2350-854X']
DOI: https://doi.org/10.3126/pravaha.v28i1.57970