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Trading volume and the number of trades:a comparative study using high frequency data

Izzeldin, Marwan (2007) Trading volume and the number of trades:a comparative study using high frequency data. Working Paper. The Department of Economics, Lancaster University.

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    Abstract

    Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the better proxy for market activity.

    Item Type: Monograph (Working Paper)
    Uncontrolled Keywords: Trading volume ; number of trades ; realized volatility ; GARCH volatility ; Mixture of distribution hypothesis
    Subjects: H Social Sciences > HB Economic Theory
    Departments: Lancaster University Management School > Economics
    ID Code: 48888
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:19
    Refereed?: No
    Published?: Published
    Last Modified: 30 Sep 2014 11:17
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48888

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