日内波动性和交易量：来自国家证券交易所的证据

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2020-07-09 DOI:10.1177/0972652720930586

A. Sampath, A. Gopalaswamy

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引用次数: 2

摘要

在本文中，我们研究了收益、交易量和波动性的模式，并使用印度股票市场的逐点数据分析了交易量-收益关系。基于描述性测量和回归框架，我们记录了三个重要的发现。首先，我们报告了异乎寻常的高波动性，市场开盘和收盘时的交易量和交易数量呈“U”形曲线，这意味着在这些时期市场活动频繁。其次，在考虑交易量的同时，我们观察到，与正常的“U”曲线相比，中午和晚上的波动率没有显著差异。最后，我们记录了控制微观结构效应的日内交易量和价格变动之间的显著正相关关系。正收益对交易量的影响大于负收益的影响，表明印度市场存在收益-交易量不对称。JEL代码:G12, G15

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Intraday Variability and Trading Volume: Evidence from National Stock Exchange

In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive measures and regression frameworks, we document three important findings. First, we report unusually high volatility, trading volume and number of trades during the opening and closing minutes of the market depicting a ‘U’-shaped curve, implying high market activity during these periods. Second, while accounting for trading volume, we observe that volatility is not significantly different between mid-day period and evening period as compared to the normal ‘U’ curve. Finally, we document a significant positive relationship between intraday volume and price movements controlling for microstructure effects. The impact of positive returns on trading volume is higher than the impact of negative returns, implying the presence of return–volume asymmetry in the Indian market. JEL Codes: G12, G15

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.