Submitted manuscript, 380 KB, PDF document
Research output: Working paper
Research output: Working paper
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TY - UNPB
T1 - Trading volume and the number of trades
T2 - a comparative study using high frequency data
AU - Izzeldin, Marwan
PY - 2007
Y1 - 2007
N2 - 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.
AB - 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.
KW - Trading volume
KW - number of trades
KW - realized volatility
KW - GARCH volatility
KW - Mixture of distribution hypothesis
M3 - Working paper
T3 - Economics Working Paper Series
BT - Trading volume and the number of trades
PB - The Department of Economics
CY - Lancaster University
ER -