3 edition of The impact of automation on liquidity, volatility, stock returns and efficiency found in the catalog.
The impact of automation on liquidity, volatility, stock returns and efficiency
Olfa Benouda Sioud
|Statement||Olfa Benouda Sioud and Dorra Mezzez Hmaied.|
|Series||Working paper series -- 0222|
|Contributions||Hmaied, Dorra Mezzez.|
|LC Classifications||Microfiche 2009/52296 (H)|
|The Physical Object|
|Number of Pages||24|
|LC Control Number||2009321717|
Stock Returns Liquidity Volatility Finance Essay. Martin Tamborsky. Abstract. In August the financial authorities in France, Spain, Italy and Belgium adopted a covered short sale ban on financial institutions. In this paper, I study the impact of this short-selling ban on stock returns, liquidity and volatility. used several determinants of stock liquidity with VIX, which are market and industry liquidity, stock returns, stock returns volatility at time t, t-1 and t +1. They have also used individual stock price, stock .
Some studies argued that liquidity might affect stock volatility, leading to an impact on stock returns. For example, Jones et al. () used the number of transactions to represent stock liquidity and discovered that volatility File Size: 1MB. However, treating volatility as a uniform measure with a homogeneous impact on liquidity overlooks the subtle, yet potentially important, structure of total volatility. More realistic developments in the asset pricing literature treat stock returns .
A Stock Returns Liquidity Volatility Finance Essay. Martin Tamborsky. Abstract. In August the financial authorities in France, Spain, Italy and Belgium adopted a covered short sale ban on financial institutions. In this paper, I study the impact of this short-selling ban on stock returns, liquidity and volatility. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic by:
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The TSE operates a continuous market for frequently traded securities and a 'call-auction' for infrequently traded securities. While our results show an improvement in the liquidity of shares following the automation, returns decreased and no significant effects on volatility Cited by: While our results show an improvement in the liquidity of shares following the automation, returns decreased and no significant effects on volatility or efficiency were detected.
The TSE operates a continuous market for frequently traded securities and a 'call-auction’ for infrequently traded securities. While our results show an improvement in the liquidity of shares following the automation, returns decreased and no significant effects on volatility or efficiency.
Hence, the net effect of automation on liquidity cannot be predicted a priori. One measure of the impact of automation upon trading is the units of volume traded, VOL, before and after automation.
There are several reasons to expect greater trading volume from an automated system Cited by: This paper examines the effects of automation on the liquidity, volatility, returns and efficiency of shares traded on the Tunisian stock exchange (TSE).
By the end ofstocks listed on the TSE Author: Sioud Olfa Benouda and Mezzez Hmaied Dorra. Olfa Benouda Sioud & Dorra Mezzez Hmaied, "The Impact of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market," Working.
The Effects of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market.
Review of Middle East Economics and Finance. ISSN 4In a survey on liquidity and stock returns, Amihud, Mendelson, and Pedersen () state that "because liquidity varies over time, risk-averse investors may require a compensation for being exposed to liquidity risk," suggesting a positive relation between stock returns and the volatility of liquidity.
Impact of Liquidity and Volatility on Stock Market Returns in Nigeria the volatility, performance and efficiency of stock returns remains vital and essential information to investors. quickly. The rate of stock liquidity affects the decisions of investors to form an investment portfolio.
In other word, rational investors expect higher risk and return for the stock with lower liquidity. Therefore, there is a negative relationship between liquidity and stock return. Following Chung and Chuwonganant (), we compute the indirect effect of market volatility shock on stock returns through the liquidity channel as the return difference between stocks with the 75th and 25th liquidity shock percentiles, respectively, associated with the median market volatility shock Cited by: 2.
Abstract. This paper offers a rational explanation for the puzzling empirical fact that stock returns decrease in the volatility of liquidity. We model liquidity as a stochastic price impact process and define the liquidity premium as the additional return necessary to compensate a multi-period investor for the adverse price impact Cited by: The volatility of liquidity is a stock-specific characteristic that measures the uncertainty associated with the level of liquidity of the stock at the time of trade.
The positive correlation between the volatility of liquidity and expected returns. The researchers examined the impact of transfer to automation on liquidity, volatility, stock returns, and market efficiency.
Using daily closing prices and trading volumes on a sample of 20 stocks traded in the TSE they found a positive impact for the transfer of electronic trading on liquidity, volatility, and market by: 7. Liquidity and Autocorrelations in Individual Stock Returns illiquidity is essentially zero.
Since turnover has often been used as a measure of liquidity,8 one may expect the illiquidity measure to be related to turnover. However, the cross-sectional correlation between turnover and liquidity. Second: Studies regarding volatility and risk management: Sioud and Hmaied 27 examined the effect of automation in the Tunisia stock exchange on the liquidity, volatility, returns, and efficiency of shares traded and found no significant effects on volatility or by: impact of short-sale restrictions on the U.S.
stocks. In this study we investigate the effect of short-sale constraints on volatility, liquidity and market efficiency. The results suggest there were statistically significant changes in liquidity, volume, and return volatility Cited by: 7.
Liquidity Risk and Expected Stock Returns by* Lubo sPastor and Robert F. Stambaugh First draft: J This revision: J Abstract This study investigates whether market-wide liquidity is a state variable important for asset pricing. We ¯nd that expected stock returns. In this study we explained the impact of liquidity on stock returns of Pakistan market.
Sample of the study was 10 listed companies of Karachi Stock Exchange (KSE). We collected the data through convenience sampling. The data was gathered from to All secondary data was gathered from Karachi Stock.
Stock market volatility is generally associated with investment risk; however, it may also be used to lock in superior returns. Volatility is most traditionally measured using the standard Author: Hans Wagner. market performance measurable in terms of market liquidity, volatility, size and efficiency.
Automation Trends in Africa Automation of stock exchanges is on the increase in Africa. Since the automation of the Johannesburg stock exchange in mid s and movement of the Egyptian Stock .Information Trading, Volatility, and Liquidity in Option Markets Information Trading, Volatility, and Liquidity in Option Markets Financial economists have long been interested in market efficiency-how .Liquidity a⁄ects various capital market outcomes such as expected returns and capital structure.
Prior research has shown that an important determinant of liquidity is volatility, where higher stock return volatility .