Bookcover of Trading Volume, Volatility And Leverage
Booktitle:

Trading Volume, Volatility And Leverage

An Analysis in the Stock Market of Mauritius

LAP LAMBERT Academic Publishing (2011-08-24 )

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ISBN-13:

978-3-8454-3802-3

ISBN-10:
3845438029
EAN:
9783845438023
Book language:
English
Blurb/Shorttext:
Knowledge of volatility is of crucial importance in many areas. The Stock Market of Mauritius did not remain untouched. This paper explores the relationship between trading volume, volatility and leverage in the Stock Market of Mauritius. In contrast to other studies which examine the SEMDEX or the SEM by sector, we examine the relationship for 35 listed stocks on the SEM. Daily return, volume and the SEMDEX is used for the period 2005 to 2009. We also emphasize on the impact of trading volume. The analysis shows that there exist substantial ARCH effect and volatility shocks are quite persistent in the market. The impact of both recent and old news can be found. The study also finds evidence of leverage and asymmetric effect on the Stock Market. Consistent with the results of Lamoureux and Lastrapes (1990), our results shows that the persistence of volatility decreases after volume is included in the model.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Ayesha Rawoo
Number of pages:
64
Published on:
2011-08-24
Stock:
Available
Category:
Economics
Price:
49.00 €
Keywords:
trading volume, Stock Price, GARCH, ARCH, EGARCH, TARCH, Stock Prices, archetype, Tarchaneiotes

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