Dissertations / Theses: 'Trading volume'

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Knutsson, Greta, and Kamyar Espahbodi. "Trading volume at Avanza." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254226.

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Producing a model explaining the trading volume can be attractive for companies who’s main revenue resides on it. Previous studies have shown that factors such as stock returns, volatility and uncertainty affects the trading volume. The purpose of this work is to clarify the consensus that prevails and determine the factors that impact Avanza’s customers trading volume. Factors such as daily stock returns and economic, political and financial uncertainty are analyzed through a multiple linear regression analysis with a daily time period between 2000-2019. The work is thus designed within the framework of mathematical statistics and industrial economics. To be able to draw a conclusion, further investigation is required in the form of a time series analysis in combination with a deeper understanding of the applied area and the mathematical methods that have been used.
Att ta fram en modell som förklarar handelsvolymen kan vara eftertraktat hos företag vars huvudintäkter beror av den. Tidigare forskning visar att faktorer som prisförändringar på aktiemarknaden, volatilitet och osäkerhet påverkar handelsvolymen. Syftet med arbetet är att klargöra den konsensus som råder och fastställa de faktorer som har störst påverkan gällande handelsvolymen för Avanza’s kunders. Faktorer som dagliga förändringar inom börsmarknaden och ekonomisk, politisk och finansiell osäkerhet har genom en multipel linjär regressionsanalys analyserats med en daglig tidsperiod mellan 2000-2019. Arbetet är således utformat inom ramen för matematisk statistik och industriell ekonomi. För att kunna dra en slutsats krävs vidare undersökning i form av en tidsserieanalys och en djupare förståelse av det tillämpade området och metoderna som har an- vänds.

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MA, GUOHUA. "THREE ESSAYS ON TRADING VOLUME." University of Cincinnati / OhioLINK, 2007. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828.

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Wavasseur, Maxime. "Asset Pricing and Trading Volume." Thesis, Toulouse 1, 2018. http://www.theses.fr/2018TOU10069/document.

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Ce mémoire de thèse est organisé en trois articles. Le premier est dédié au cas des moulins de Toulouse dont les données nous permettent de tester certains points de la théorie de l’évaluation des actifs. Plus précisément, nous proposons une mesure de la consommation locale et réalisons une analyse basée sur l’entropie relative pour extraire le facteur stochastique d’actualisation de cette économie. Nous observons que ce dernier est lié à la consommation et qu’un modèle simple à la Lucas n’est pas rejeté pour des niveaux d’aversion pour le risque bas. Dans le second article, nous décrivons de manière purement théorique la relation entre le volume d’échange et la composition du marché par le biais d’un modèle où les préférences d’un agent dépendent de son environnement et où un choc de liquidité peut survenir de manière collective pour tous les membres d’un même groupe. Nous introduisons alors le concept de canal désirable comme condition nécessaire à la réalisation d’un échange et lions la topologie du réseau au volume espéré des échanges. Le troisième article porte sur le rôle des statuts sociaux dans la dynamique de marché. Nous proposons un modèle où deux types de biens sont disponibles, un bien positionnel et un bien non positionnel. En distinguant dans l’économie ceux possédant un statut et ceux qui n’en possèdent pas nous justifions comment les échanges prennent place au cours du temps par rapport à cette distinction sociale. Les prédictions du modèle sont alors testées sur les données historiques des moulins de Toulouse
This doctoral thesis is organized in three articles. In the first one, we use the Toulouse mills companies data as a suitable testbed for asset pricing theory. More precisely, we provide a proxy for local consumption and perform a relative entropy analysis to extract the stochastic discount factor of this old economy. We found that the model-free pricing kernel correlates with consumption and a standard CRRA-model is not rejected by the data, even for very low risk aversion levels. In the second article, we describe the relationship between trading volume and market composition through a pure theoretical approach. We build a model where the agent preferences depend on his environment and a liquidity shock is collectively experienced by the members of each social group in the economy. We introduce the concept of desirability channel as a necessary condition for a trade to occur and we rely the topology of the network to the expected volume. The third article focus on the role of social status concern in the exchanges dynamic. We propose a setting where two types of goods are available, a positional and a non positional one. By splitting the economy into two social groups, we depict how trades take place over time regarding to these social groups. The model predictions are finally tested on the historical support of the Toulouse mills companies

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Johansson, Henrik, and Niklas Wilandh. "Trading volume : The behavior in information asymmetries." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-238.

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According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selection. When the asymmetry is resolved there should be a corresponding increase in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks.

The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed investors behave in information asymmetries on Stockholmsbörsen.

The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement.

We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an increase before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.

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Basu, Somnath. "Information, expectations and equilibrium: Trading volume hypotheses." Diss., The University of Arizona, 1990. http://hdl.handle.net/10150/185109.

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In analyses of the relationship between information and price-volume reactions, the role of investor expectations is often considered implicitly. Not allowing investors to either disagree among each other or remain uninformed is a consequence of the assumption of a free and perfect information flow. A more flexible definition of information allows the observation that trading volume is an accurate reflector of investor expectations and contains valuable information about price movements. Trading volume is also used to empirically show the effects of imperfect information and the inappropriateness of the event study method.

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Wang, Hanfeng. "Essays on stock trading volume, volatility and information." Click to view the E-thesis via HKUTO, 2007. http://sunzi.lib.hku.hk/hkuto/record/B38826185.

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Wang, Hanfeng, and 王漢鋒. "Essays on stock trading volume, volatility and information." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38826185.

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Rougier, Jonathan. "Price change and trading volume in a speculative market." Thesis, Durham University, 1996. http://etheses.dur.ac.uk/5347/.

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This thesis is concerned with the daily dynamics of price change and trading volume in a speculative market. The first part examines the news-driven model of Tauchen and Pitts (1983), and develops this model to the point where it is directly testable. In order to implement the test a new method for creating a price index from futures contracts is proposed. It is found that news effects can explain some but not all of the structure of the daily price/volume relationship. An alternative explanation is presented, in which the model of Tauchen and Pitts is generalized in a non-linear fashion. In the second part of the thesis, the presence of a small amount of positive autocorrelation in daily returns is exploited through the development of a timing rule. This timing rule applies to investors who are committed to a purchase but flexible about the precise timing. The computation of the timing rule is discussed in detail. In practice it is found that this timing rule is unlikely to generate sufficiently large returns to be of interest to investors in a typical stock market, supporting the hypothesis of market efficiency. However, the incorporation of extra information regarding price/volume dynamics, as suggested by the analysis of Part I, might lead to a much improved rule.

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Chiu, Shuk-man, and 趙淑文. "Trading volume in the housing market around land auctions events." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hdl.handle.net/10722/194612.

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Land and housing markets are separated, with the traders in the land market being developers and those in the housing market being end-users for self-occupation and investors for investment. The two markets, however, are closely related because demand for residential sites is derived from demand for housing. With this close relationship, any signals from the land market should be impounded to the housing market. Land auction, which is the most commonly adopted land disposal method in Hong Kong, is a significant event in the land market. The land auction events should contain market signals affecting trading decisions of homebuyers and sellers in the housing market in a similar way that corporate earnings announcements of a listed company affect the trading of its shares in the stock market. 　　This study investigates how land auctions affect trading volume in the secondary housing market in Hong Kong. Hypotheses are developed based on previous studies on the impacts of corporate earnings announcements on trading volume in stock markets with modifications to take into account the differences between housing and stock markets. The characteristics of housing market that are important in formulating the hypotheses are high transaction cost and market incompleteness (e.g. absence of short selling). In addition, lumpiness and indivisibility of housing, which make market participants risk-averse, also play important roles in the development of the hypotheses in this study. 　　The research results indicate that greater dispersion in prior beliefs before the land auctions is associated with lower trading volume in the housing spot market. Unexpected land auction outcomes, be they positive or negative, are also negatively related to trading volume in the housing market, with the negative outcomes exerting a strong downward pressure on trading volume. These findings are contradictory to the findings commonly found in most finance literature about trading volume around corporate earnings announcements which assumes negligible transaction cost but consistent with findings in Barron and Karpoff (2004). The deviation from previous studies of stock market can be explained by the risk-averse behaviour of market participants, high transaction cost and market incompleteness in the housing market. Although empirical data in Hong Kong are used, the implications are general and should be applicable to other housing markets with similar characteristics. This study also sheds light on how increase in transaction cost and restriction on short selling may affect trading volume around corporate earnings announcements in the stock market.
published_or_final_version
Real Estate and Construction
Doctoral
Doctor of Philosophy

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Rebelo, Paulo Tomaz. "Price moving average and volume." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10394.

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Mestrado em Finanças
Este trabalho pretende testar uma das mais simples e populares ferramentas de análise técnica, as médias móveis, e a sua relação com o volume e as rendibilidades utilizando dados do índice PSI 20 desde 1992 até 2012. Os resultados sobre as rendibilidades suportam a eficácia da utilização desta estratégia mostrando que são estatisticamente superiores às da estratégia buy-and-hold, e ainda, que sinais de compra geram rendibilidades consistentemente superiores às que se seguem aos sinais de venda. Em suma, os resultados mostram que podem ser obtidas rendibilidades adicionais através de estratégias baseadas nas médias móveis sobre os preços. Este estudo tenta ainda investigar a relação entre volume e as rendibilidades diárias no mercado acionista português. Os resultados da regressão mostram que tanto os sinais de compra ou venda da estratégia de médias móveis como o volume têm pouco poder explicativo sobre as rendibilidades das ações. Esta conclusão parece não ser consistente com os resultados da análise sobre as rendibilidades.
This work tests one of the simplest and most popular trading rules, moving average, and the relationship with trading volume by utilizing the PSI 20 Index from 1992 to 2012. In the returns scope, our results provide strong support for this technical strategy. The returns obtained from this strategy are statistically higher than the simple buy-and-hold policy, and further, buy signals consistently generate higher returns than sell signals. Overall, our results show that additional returns can be obtained from a trading strategy based on this technical rule. This study also attempts to investigate the relationship between trading volume and daily stock returns. The results obtained from the regression show that both moving average signals and volume have little explanatory power on returns in the Portuguese stock market. This conclusion brings shy support to the trading efficacy that resulted from the returns analysis.

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Vieru, M. (Markku). "Essays on investors' trading policy around interim earnings announcements in a thinly traded securities market." Doctoral thesis, University of Oulu, 2000. http://urn.fi/urn:isbn:9514257197.

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Abstract This study consists introductory survey and three essays where investors' trading responses to interim earnings announcements are studied using Finnish data. The essays are individual papers, but their topics are closely connected since they address the trading response from different angles. The essays progress from an aggregated to a more detailed examination. The first essay was conducted on daily data, whereas the second and third consist of intraday trading data. In all three essays information asymmetry is assumed to affect trading behavior around interim earnings announcements. The first article contains empirical findings regarding the effect of interim earnings announcements on investors' trading policy using Finnish data. The aim of the paper is to investigate empirically the role of pre-disclosure information asymmetry and the information content in explaining volume responses to interim earnings announcements. Evidence is provided that the trading volume response is positively associated with the information content and to some extent with the level of pre-disclosure information asymmetry. The results are in line with the theoretical trading volume proposition. However, the significance levels are lower than in similar US studies and the association between positive and negative news is slightly asymmetric. The second article finds evidence from the Helsinki Stock Exchange that the widely documented U-shape pattern in trading activity - namely heavy trading in the beginning and at the end of the trading day and relatively light trading in the middle of the day - is affected by an anticipated information event (i.e. interim earnings announcement). Before the announcement day, trading is more concentrated at the close. This is consistent with investors' heterogeneous willingness to bear expected overnight risk, which is especially prevalent before an announcement. Moreover, a slight increase on the open is evident after the announcement day. Evidence is also provided that the change in intraday trading behavior is associated with announcement-related factors, such as the range of analysts' earnings forecasts, the magnitude of unexpected earnings and firm size. Furthermore, this association is evident to some extent during the transition between trading and non-trading regimes. The third study examines whether the permanent price effects of individual trades are greater before or after an interim earnings announcement on the Helsinki Stock Exchange. If the permanent price effects are greater before the announcement this would suggest that investors believe that some traders are better informed before the interim earnings announcement than after. Using permanent price effects as a measure of price adjustment for private information, tests were performed to see whether price adjustments are greater in pre-announcement periods than in post-announcement periods. The results, based on interim earnings releases for the period 1993 to 1997 by HSE-listed firms, suggest that large trades do indeed produce greater permanent price effects before an announcement than after it. This suggests that large trades associated with price changes (especially uptick trades) before an announcement send a stronger signal to other investors than similar trades after the announcement. For small trades the results were insignificant.

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Kwok, Hon-ho. "Trading volume and liquidity premium in the Hong Kong housing market." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B36881909.

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Kwok, Hon-ho, and 郭漢豪. "Trading volume and liquidity premium in the Hong Kong housing market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36881909.

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Yonis, Manex. "Trading Volume and Stock Return : Empirical Evidence for Asian Tiger Economies." Thesis, Umeå universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-88263.

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Fu, Hsiao-Peng. "Momentum strategies, contrarian strategies, and trading volume : the case of Taiwan." Thesis, University of Essex, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428961.

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Watkins, Boyce Dewhite. "Investor Sentiment, Trading Patterns and Return Predictability." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045.

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Macret, Deborah Zilberman. "Relação entre volume e volatilidade no mercado acionário brasileiro." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24823.

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O presente trabalho procura identificar padrões na volatilidade intraday no mercado de ações brasileiro e, em seguida, traçar uma estratégia trading baseada neles. Em alguns estudos, o comportamento da volatilidade é associado ao comportamento do volume negociado. Este, por sua vez, segue o formato em ’U’ durante o dia - maiores negociações nas horas iniciais e finais, sendo relativamente menor no período intermediário. A partir da análise de ações da carteira Ibovespa, concluímos que o mercado brasileiro segue, também, este comportamento. A estratégia escolhida , então, é vender volatilidade no início do dia e comprá-la no período intermediário. Para isso, utilizamos strangles.
This work seeks to identify patterns in intraday volatility in the Brazilian stock market and then outline a trading strategy based on them. In some studies, the behavior of volatility is associated with the behavior of the volume traded. This, in turn, follows the ’U’ format during the day - larger negotiations in the initial and final hours, being relatively smaller in the intervening period. Based on the analysis of shares of the Ibovespa portfolio, we conclude that the Brazilian market also follows this behavior. The strategy chosen, then, is to sell volatility early in the day and buy it in the intervening period. For this, we use strangles.

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Lin, Li-Fei, and 林立斐. "Sales Momentum and Trading Volume." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/08586730377985296468.

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碩士
淡江大學
財務金融學系碩士班
102
This research mainly examines whether the momentum life cycle hypothesizes exist in Taiwan stock market by sales momentum and trading volume. In this thesis, the main research objects are the listed common stock in Taiwan Stock Exchange Corporation and Gre Tai Securities Market during the period 1993 — 2012. According to the empirical result, the conclusions are that Taiwan stock market is not an efficient market and the return of low abnormal turnover portfolio will better than high abnormal turnover portfolio. Trading volume can predict price reversal of sales momentum .The Momentum Life Cycle exists in Taiwan stock market.

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Chang, Li-Chyun, and 張立羣. "REITs Returns and Trading Volume." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/5gvmex.

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碩士
國立臺灣科技大學
財務金融研究所
94
The past literature have shown that in stock markets, the high volume shares react to market information faster than low volume shares, and that is why the returns of the high volume shares take lead of low volume shares. However, due to the REITs characters of fixed incomes and closed-form type of mutual funds, will the phenomenon of the faster responses to information also hold in REITs markets? This paper examines whether trading volume can be an indicator to reveal the lead-lag relationship among REITs returns with daily data in CRSP and has three significant findings: (1) the predictability of high volume REITs returns to low volume REITs returns is better than that of low volume REITs returns to high volume REITs returns, (2) the predictability in (1) is resulted from the different adjustment speeds to both market information and unexpected market information between high volume REITs and low volume REITs, and (3) buy-sell trading strategy can help investors obtain abnormal returns since high volume REITs respond to market information faster than low volume REITs. In addition, REITs are more insensitive and reacts slower to market information than stocks, and this implies REITs can help investors avoid market fluctuation in short term investments.

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Chiang, Chia-Hung, and 江家弘. "Unexpect Shocks of Trading Volumes on Index Options Volatility-volume Relationship." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/92567582142331430229.

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Pei-Yun-Wu and 吳佩芸. "Market Abnormal Trading Volume and Momentum." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/3bk4km.

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碩士
國立暨南國際大學
財務金融學系
106
The previous literature suggests abnormal trading volume can attract the attention of investors, the attract of investor is an important factor in deciding investment decisions. According to Barber and Odean (2008), this paper uses abnormal trading volume as the attention of investors to explore the momentum profitability of the market dynamics under the Taiwan stock market. We found that in the state of low attention, the momentum strategy in Taiwan stock market has a significant return. We also take account of market states, market dynamics, business cycle, and market volatilities to explain the effect of market abnormal trading volume and momentum. We find that even though we consider these variables the momentum profits are still sensitive to abnormal trading volume.

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Lee, Zi-Long, and 李致榮. "Insiders announce their trading to affect stock price and trading volume." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/26499738874794987129.

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碩士
輔仁大學
管理學研究所
88
This study is about insiders announcing their trading and how to affect stock price and trading volume. The study is from 1997 to 1999 and including 1022 samples. We not only confer stock price but also trading volume. Besides we distinguish our samples into the electronics industry and non-electronics industry; managers and non-managers; corporation and non-corporation; one-kind and over two-kind insiders to understand if there are some differences between them. Before the event days, we observe the positive abnormal return. This situation shows the messages of insider trading are not leaked to the public. But we know the insiders can make the stock price upward before their trading. When insiders announce their trading, it really make stock price downward. So the public regard the messages of insider trading as bad news. Before the event day, we observe both the stock price and trading volume upward and insiders can take the advantage of this suitable time to transfer their shares. After the event day, we observe the stock price and trading volume go opposite. The trading volumes don’t show overreaction. We don’t observe confident negative abnormal trading volume after event day. Our conclusions： 1.Before the event day, we don’t observe the messages of insider trading are leaked. 2.Insiders announce their trading really make the stock price downward, so it does not support the semi-strong effective hypothesis. 3.Before the event day, we observe both the stock price and trading volume go upward but after the event day, the stock price and trading volume go opposite and we don’t observe the confident abnormal trading volumes. 4.The non-electronics industry make the stock price declined than electronics industry, but the result of mean test don’t show the difference between them. 5.The managers (including directors, supervisors, and managers) announce their trading really make the stock price downward. 6.The corporation and non- corporation announce their trading don’t show the difference between them. 7.The directors, supervisors, managers, and stockholders announce their trading can’t effect the stock price differently. 8.The one-kind and over two-kind insiders have the different effect on the stock price only on the event day. 9.The more insiders have their shares; the more the stock price decline. 10.On the event day, the relation between the stock price and trading volumes is positive and ,the relation is disappeared when the time goes by.

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Yamada, Takeshi. "Investor heterogeneity, trading volume, and asset pricing." 1993. http://catalog.hathitrust.org/api/volumes/oclc/33030913.html.

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Schneider, Jan. "Information in stock prices and trading volume." Thesis, 2006. http://hdl.handle.net/2429/18558.

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In this thesis I develop two theoretical models to analyze how investors can infer private information from market prices and aggregate trading volume. In the first chapter I provide a closed form solution for a rational expectations equilibrium where all investors infer information about the state of the economy from (1) private signals, (2) the market price and (3) aggregate trading volume. The main result of this model is that trading volume reveals the relative quality of the aggregate private information in the economy. Investors use volume to decide how they should weight the market price relative to their own private signals when they update their beliefs. In the second chapter, I assume that investors make individual mistakes when they infer information from the price. I show that in a heterogeneous information economy, bounded rationality on the individual level is observationally equivalent to a psychological bias on the aggregate level. If the investors are not able to infer perfectly the true state of the economy from the price, then the aggregate demand corresponds to the demand of a representative agent who is "underconfident". The underconfidence of the representative agent causes the price to adjust to new information too slowly.
Business, Sauder School of
Graduate

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Kaastra, Iebeling. "Forecasting futures trading volume using neural networks." 1994. http://hdl.handle.net/1993/18144.

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kuo, fang-hsien, and 郭芳銜. "Why Has Trading Volume Of Option Increased?" Thesis, 2010. http://ndltd.ncl.edu.tw/handle/94441196886480597028.

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碩士
國立高雄第一科技大學
金融所
98
In recent years, transaction cost plays an important role for dramatic increase of options turnover. Higher turnover has a great relation with much more frequent trades. Especially, institutional trading has significant changed due to their increasing trade size and frequency. Among all investor, we find the trading activity of institutions has changed the most. We use variance ratios to test whether private information exists while the turnover of institution increases in the same time, and our empirical result shows the phenomenon doesn’t exist. The sensitive of turnover to short-term return has increased recently, but to long-term return doesn’t change significantly, implying that the market become more efficient.

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Su, Xuan-Qi, and 蘇玄啟. "The Long-Run Persistence of Trading Volume." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/45375788636156807545.

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博士
臺灣大學
財務金融學研究所
98
This paper studies long-run persistence of trading volume by investigating the evolution of share turnover in the cross-section of stocks listed in NYSE/AMEX and NASDAQ. Using quartiles based on turnover in portfolio formation year, this paper documents new evidence that a self-perpetuating manner exists in trading volume and provides new insight into behavior of cross-sectional trading activities in a long horizon. Particularly, we find that, even being similar along many characteristics such as visibility, the mass of informed traders, systematic risk, and shares held by institutional investors, stocks with relatively heavy (light) initial turnover tend to maintain relatively heavy (light) turnover for over 20 years. This permanent pattern implies that initial turnover bears an important relation with future turnover and that cross-sectional variation in trading volume is driven by unobserved and time-invariant security-specific factors. Additionally, in a sample of IPO stocks during 1975-2007, we find that stocks tend to remain their IPO rankings of turnover over quite some time and hence imply that the differences in stock’s trading activities are somewhat determined prior to or at the time that their issuances. Our overall findings are robust to sample design and to sample period, either employing alternative measure of trading volume, removing market-wide volume, using a subsample of time-honoured firms, or expanding sample horizon.

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28

Su, Jing-Wun, and 蘇靜雯. "Trading Volume Revealing and Rational Expectation Equilibrium." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/67427947069345136994.

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29

He, Huei-Ru, and 何惠如. "Information Content of Option Volume and Trading." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/c968r5.

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博士
國立交通大學
財務金融研究所
105
This dissertation contains two studies on information content of index option volume and trading strategies in the Taiwan index market. In the first study, we examine the predictive ability of index option put-call volume on next-day index movements in the Taiwan market. We find that foreign institutional investors are the most informed traders, with their predictive ability being more apparent in a downward market. When engaging in informed trading, foreign institutional investors tend to use out-of-the-money options to achieve high leverage, along with medium-term options to obtain large delta exposure and low theta risk, whilst also sacrificing liquidity by forgoing the use of short-term options. The predictive ability of foreign institutional investors is found to be significantly enhanced on days with important macroeconomic news, thereby indicating their superior interpretative ability of publicly-accessible information. Based upon their long-lived informational advantage, foreign institutional investors will tend to engage in informed trading using limit orders and medium-sized trades in order to camouflage their information. In the study, we examine the ability of pre-open index option trading to predict subsequent stock index returns. Using the imbalance between positive volume (long calls and short puts) and negative volume (short calls and long puts) as a proxy of trading intention, we find that on days of index decline, foreign institutions’ option volume imbalance facilitates predicting the subsequent spot index opening returns up to 25 min after spot market opening. This suggests that foreign institutions are informed traders in Taiwan. When engaging in informed trading, foreign institutions prefer medium-sized trades, out-of-the-money options, and medium-term options to balance the trade-off among leverage, liquidity, and the option characteristic of value decay over time. The predictive ability of foreign institutions is enhanced significantly for days on which the NASDAQ index drops severely during the previous overnight interval, a finding that indicates that pre-open option trading serves as the front line of the overseas contagion effect prior to the spot market opening. The informational role of options is found at the pre-open interval but not during the regular trading session when options are traded side by side with spot assets, which indicates a unique price discovery role for options during the pre-open trading session. Our findings confirm the information role of foreign institutional investors in the index option market, a market generally deemed to be less important in information discovery than stock markets. The findings in this dissertation provide broader views concerning the way in which how valuable information is incorporated into prices.

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30

Pan, Yu-You, and 潘俞佑. "Trading strategy of intra-daily trading volume burst production of TAIEX futures." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/99n25z.

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碩士
國立高雄應用科技大學
金融系金融資訊碩士班
102
The subject of the relationship between trading volume and prices which has been academic and practical concerns since the capital market established. For technical analysis, price and trading volume are the important information. Clark (1973) first proposed the mixture of distribution hypothesis and then Copeland (1976) presented the sequential arrival of information hypothesis to explain the relationship between price and trading volume. They all consider that the absolute value of price change and trading volume are positive correlation. So this paper use Taiwan stock price index futures to construct a trading strategy, that is, when intra-daily trading volume burst production, immediately trading in the market. Following the current trend of candlestick to go long or short and with the same stop-loss and stop-profit to trade out the market. This research using two methods which are low amount of trading volume instantaneously turn into high amount of trading volume of absolute burst production and magnification of relative burst production to proceed empirical analysis. The empirical results show that first, the performances are better when the parameters of trading strategy change along with timeline; second, the parameters of moving window with different frequencies, which the training period of month corresponds to month is too short to make the profit and loss have large fluctuations and bad performances; third, when intra-daily trading volume burst production, using low amount of trading volume instantaneously turn into high amount of trading volume absolute burst production and magnification of relative burst production immediately trading in the market, and matching the parameters of moving window that both can get positive returns.

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31

Shieh, Ching Liang, and 謝青良. "The Impacts of Day Trading on market volatility,liquidity and trading volume." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/95406269931204405191.

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32

Xie, Qing-Liang, and 謝青良. "The Impacts of Day Trading on market volatility,liquidity and trading volume." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/63134253695055381732.

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33

Chih-Ming, Mai, and 麥誌銘. "The Trading Benefit Analysis of The Unit Trading Volume in Index Futures." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/zbed77.

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碩士
國立勤益科技大學
資訊工程系
106
Due to the market price fluctuate extremely unstable, it caused poor precision of technical indicators. According to the result of literatures and researches that volumes, price fluctuations and remuneration are positively correlated. Therefore, we use unit trading volume to generate a candlestick chart instead of conventional time frame candlestick chart in this thesis, and backtesting the TAIEX index futures of duration 2014/1/1 through 2017/7/31 by using the programs. Based on the backtesting result, it proves that adopting candlestick chart of unit trading volume, its sensitivities and the transaction performances are better than the conventional time frame candlestick chart in which are under the conditions of using identical parameter and technical index.

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34

何嘉萍. "A Study of Relationship among Taiwan Stock Index, Trading Volume and Trading Value." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/bz99vq.

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碩士
嶺東科技大學
財務金融系碩士班
106
This study uses Vector Autoregression model to study the correlation between TAIEX and trading volume as well as between TAIEX and trading amount. The data contains TAIEX, electronic stock index, financial stock index, and construction stock index from TEJ database. The number of sample is 3194 and the sample period is from January 3, 2005 to November 24, 2017. Granger causality test, VAR Model and co-integration relationship verification are used in this article to analyses the relationship between TAIEX, trading volume, and trading amount. Volume and Price Relationship Analysis is usually used in judging the relationship between stock price and trading volume. This study shows that the prices of TAIEX, Electronic stock index, and Construction stock index granger cause trading volume and trading amount. The price and trading amount of Financial stock index have bi-directional causality.

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35

Chen, I.-Te, and 陳一德. "Day Trading Policy, Trading Volume of Targeted Stocks, and Trading Atmosphere of Stock Market: DID Econometric Methods." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/ge5the.

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36

Li, Chun-Te, and 李俊德. "Stock return and trading volume: The liquidity premium." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/37053908278080989260.

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碩士
中國文化大學
會計研究所
91
The relationship between the trading volume and stocks return on TSEC and OTC in Taiwan form August 25, 1984 to October 31, 2002 is examined in the study. The objects are to investigate the role of trading activity and the information implications about the future price. It is interested in the power of trading volume in predicting the direction of future price movements. The event study method is used to examine the cumulative average return from 1 to 50 days of three groups of stocks after the event date that experienced unusually high, normal, unusually low trading volume, preceding the portfolio forma-tion date. The main results of the study are as follow. On one hand, the high-volume portfolio experiencing the unusually large trading volume tends to experience significantly nega-tive returns. It is indicated that there is a reverse high-volume return premium existing on TSEC and OTC. On the other hand, the low-volume portfolio experiencing the unusually small trad-ing volume tends to experience positive returns but not significantly. It is also found that the short-term reversion in price could explain the results of the reverse high-volume return premium. However, the results could be explained by the liquidity premium partially.

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37

Lo, Sheng-Hui, and 羅生暉. "Integrated Strategies for Trading Volume and Technical Indicators." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/03658860364915065421.

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碩士
東吳大學
資訊管理學系
101
Investors care stock price rather than stock trading volume. We focus on the trading volume in this study. Combine trading volume, price with technical indicators to form various trading strategies. The study period is from January 2, 2007 to September 28, 2012. We focus on the components of Taiwan 50. When the stock price raises extremely, the performance of the buy and hold is better than the one of the strategy 1. Otherwise, the result is reversed. The strategy 1 combines with the KD indicator to strategy 2. From our experiment, the performance of strategy 2 is below the one of strategy 1. It is strategy 3 to join BIAS indicator. Its performance is better than the one of strategy 1 or strategy 2. From this research, we provide investors correct enter and exit timing. It is in the easiest and fastest way to get a good profitability.

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38

Tai, Wan-Ju, and 戴婉如. "Price and Volume Trading Strategy with Market Frictions." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/79528996840781725720.

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碩士
淡江大學
財務金融學系碩士班
94
This study analyzes portfolio strategies based on the approaches of Jegadeesh and Titman (1993); besides, we build price or volume trading strategies with market frictions and use daily data of TSEC Taiwan 50 Index Constituents from July, 2nd,1996 to June, 30th, 2005. Our result finds that when we do not calculate trading costs, the contrarian strategies constituted on the basis of former returns of individual stock generate significant positive returns in the extreme short-term. And in the volume investment strategy, we find that our better performance is to buy stocks with relative higher-turnover in the past and sell that with relative lower-turnover in the past simultaneity, which expresses the positive relation between price and volume in Taiwan stock market. However, price or volume strategies perform the worst after trading costs. As the holding periods are shorter, the trading costs have more significant impact on returns, and would have higher trading costs when we short portfolios. In addition to trading costs, we consider that round-lot restriction in trading stocks and it would have small impact on the momentum strategies that constituted on the basis of former returns of individual stock. Besides, round-lot restriction in trading stocks would drop the return of volume investment strategies when we buy stocks with relative high-turnover in the past and sell that with relative low-turnover in the past simultaneity. Additionally, we test whether different investment constituents of portfolios could influence the performance of trading strategies. We find that the more stock investment constituents of portfolios have, the worse trading strategies performance are. As considering different capital in the rounding-lot restriction, the rounding error would not more significant when the holding periods increase.

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39

Wang, Chih-Wei, and 王志瑋. "Essays on Option Pricing and Option Trading Volume." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/72581334238537233678.

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博士
國立交通大學
財務金融研究所
101
This dissertation consists of two separate issues. The first issue is we extend Log-HAR option pricing model, which is more convenient compared to other option pricing models associated with realized volatility in the way of simpler estimation procedure. In addition, we test the empirical implications of HAR-type models in the S&;P 500 index options market with the comparison of the NGARCH option pricing model that has been documented as the best model in pricing options among GARCH-type models. Our empirical analysis is based on options traded from July 3, 2007 to December 31, 2008 covering the recent financial crisis, where has never been discussed in existing literature. Overall, we find that the HAR-type models successfully predict out-of-sample option prices probably because they are based on realized volatilities, which are closer to expected volatility (VIX) in financial markets. However, it seems to exist the mixed result between the Log-HAR and the HARG models in pricing options since the Log-HAR is better than the HARG in times of turmoil, while it is worse during the rather unstable period. The second issue is related to informed investors can predict future index returns in emerging markets like Taiwan. Unlike previous empirical results, we find that in more recent periods, the put-call ratio of domestic institutional investors show significant predictive power for daily TAIEX returns, except during the 2008 financial crisis. In contrast, the put-call ratio of foreign institutional investors only has weak predictability for the TAIEX returns prior to the severe global market downturn in late 2008. We further explore the intraday lead-lag relationship among index returns and put-call ratios of different trader types. Our results show that only the trading of domestic institutional investors possesses predictive capability for intraday TAIEX returns prior to the 2008 financial crisis. During the 2008 financial crisis, intraday TAIEX returns significantly lead option trades of foreign and domestic institutional investors, suggesting that although institutional investors closely watch and react to market fluctuations, they are unable to predict market movement beforehand.

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40

Lin, Qi-Jie, and 林祺傑. "PRICE VOLATILITY AND TRADING VOLUME OF FUTURES CONTRACT." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/63325446033003959835.

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41

Hu, Ting-Han, and 胡庭翰. "Exchange Trading Fund volume correlation with VIX index." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/b3vk69.

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42

"Differential information and dynamic behavior of stock trading volume." Sloan School of Management, Massachusetts Institute of Technology], 1994. http://hdl.handle.net/1721.1/2531.

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by Jiang Wang and Hua He.
"First draft: December 1992, Last revision: August 1994"--2nd Prelim. p.
Includes bibliographical references (leaf 39).
Supported by the Batterymarch Fellowship Program, the International Financial Services Research Center and the NTU Career Development Assistant Professorship at MIT.

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43

Ma, WeiPing, and 馬維平. "The Study of Trading Volume Benchmark and Momentum Strategy." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/00425939658291268982.

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44

Su, Chuan-Yu, and 蘇傳宇. "Trading Volume and the M&A Announcement Effect." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/ckt5e8.

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碩士
國立臺灣大學
商學研究所
105
This study investigates the relationship between unusually low trading volume of the bidder’s stock over the week prior to its M&A announcement and the announcement effect of the M&A bidder. The empirical result suggests that (1) the unusually low trading volume over the week prior to its M&A announcement signals bad news about the announcement effect; (2) this effect is more pronounced among stocks with higher short-selling constraints. Our findings posit that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents stay by the sidelines. In addition, past research regarding to high volume premium are insufficient to explain the results. This shows that the underlying driver for the volume prompted price movements is different for unusually high and low volume shocks.

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45

Chen, Hung-Kun, and 陳鴻崑. "The Study of Momentum Life Cycle and Trading Volume." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/84777192990709049524.

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碩士
淡江大學
財務金融學系
88
This study analyzes portfolio strategies based on the Momentum Life Cycle (MLC) by Lee and Swaminathan (2000) and the concept of industry momentum by Moskowitz and Grinblatt (1999). Empirical results suggest that Taiwan stock market is not an efficient market. Investors earn abnormal returns using several momentum strategies. As MLC suggested, past volume is a valuable information in forming portfolios, which provides important link between stocks “overreaction” and “underreaction”. Specifically, we find that low turnover stocks generally earn higher returns than high turnover stocks. The past winner also earns higher return than past loser does. We also find that the performance of industry momentum strategy is better than the individuals stock momentum strategy, possibly due to the industry diversification effect. For individual stocks, the "early stage" momentum strategy outperforms the momentum strategy, which again outperforms the "late stage" momentum strategy. For industry, the "early stage" momentum strategy is better than the momentum strategy, and the momentum strategy is better than the "late stage" momentum strategy. In comparison of the individuals and industry momentum life cycle, we find that individuals early stage momentum strategy outperforms both individuals stock momentum strategy and industry momentum strategy when the formation period is 1 and 3. As formation period expends to 6 and 9, the performance of industry momentum strategy is better than the individuals early stage momentum strategy. The industry early stage momentum strategy provides the best return among all invest strategies.

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46

Ya, Chua Shing, and 蔡醒亞. "The Relationship among Revenue Per Month and Trading Volume." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/01565313734845892903.

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47

Yi-ShenShih and 施易伸. "Revisit the Relationship between Stock Returns and Trading Volume." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/77816792220602774822.

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碩士
國立成功大學
經濟學系碩博士班
101
This paper mainly examines the contemporaneous relationship between stock returns and trading volume. Using daily data for S＆P 100 stock price and trading volume from 1998 to 2007, I investigate whether the return-volume relations differs during different phases of stock market cycles and economic business cycles, i.e., whether or not the relationship is asymmetric in bull and bear stock markets as well as in the recovery and the recession. I apply two theories to my study: First, using Driscoll and Kraay standard errors for panel regression with cross sectional dependence. Second, I employ quantile regression model. In contrast, this paper finds that the return-volume relations across two methods are quite different. In regard to using Driscoll and Kraay standard errors estimated method for panel regression with cross sectional dependence, test results illustrate an significantly asymmetric return-volume relation in bull and bear stock market, but the difference between the recovery and the recession is not statistically significant. In terms of using quantile regression method, test results also illustrate an significantly asymmetric return-volume relation in stock market cycles and economic business cycles. Finally, in order to clarify the exactly relationship within different industries, this paper categorizes all industries into 22 groups to explore the return-volume relationship.

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48

Syu, Jhih-yang, and 徐智揚. "Trading Volume and Stock Investments in Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/92966487514817343842.

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碩士
逢甲大學
財務金融學所
98
We generally only consider the trading volume associated with the liquidity problem. Scholars such as Jeffrey, Douglas and Stephen (2009) propose that volume also represents the effects of momentum and information factors. For the relatively illiquid stocks, investors will require liquidity premium. Thus, trading volume and stock returns respond to each other in a negative relationship. In contrast, for the relative movement of individual stocks, the effects of momentum and information dominance will cause trading volume and stock returns a positive relationship. This study includes all listed stocks or a total of 891 stocks in Taiwan stock market, takes the survivorship bias into consideration, and so also contains information under the Municipal Corporation. The data covers the period from 1990/01/31 to 2009/12/31, a total of 20 years. The goal is to discuss the potential investment strategies and verify whether the trading volume factor should be included in some well-known risk factor regression model. The results show that the illiquid stocks have higher return, imply that liquidity premium exits, and the relatively liquid stocks also have the momentum and information effect. But the returns of liquid stocks are not as higher as illiquid stocks. Investors can’t obtain the abnormal return by using the strategy of long-short quintile, because of the significant and negative α in the Fama-French (3-factor and 4-factor) regression models. The study also finds that trading volume contains a special factor in their own information which should be distinguished from other factors.

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49

Lee, Jung-Kai, and 李榮凱. "The Information Content of Trading Volume in Futures Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/58966142345870140142.

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碩士
國立高雄第一科技大學
財務管理研究所
102
Based on the Tai, Lin and Chen (2011), the thesis investigates the unexpected shock of open interest and trading volume to volatility and related asymmetric effects in Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX). Data include daily closing prices, trading volumes and open interests from in July 1998 to December 2012. By using EGARCH models, we decompose the outstanding open interests and trading volumes partitioned into expected and unexpected ones. Empirical results shows that the trading volumes are significant positive relation to volatility; open interests are significant negative relation. In the asymmetric effect, the impacts of bad news are greater than those of good news. Our results are consistent with the expectation theory.

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50

Huang, Tzu-feng, and 黃子芬. "The Behavior of Trading Volume Around Quarterly Earnings Announcements." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/39032742256430232800.

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Dissertations / Theses on the topic 'Trading volume'

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