The Relation of Volatility and Trade Size: A Comparison of NASDAQ and NYSE

• Main Authors: Xiang-Jun Meng, 孟祥鈞
• Other Authors: Huimin Chung
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/07253291909573578258

碩士 === 淡江大學 === 財務金融學系 === 89 === Title of Thesis: The Relation of Volatility and Trade 　　　　Size:A Comparison of NASDAQ and NYSE　　　Total Page:101 Key Word: order imbalance, trade size, intraday data, Two-Stage Least Square, TAQ Name of Institute: Graduate Institute of Money, Banking and Finance, Tamkang University Graduate Date: June, 2001 Degree Conferred: Master Name of Student: Xiang-Jun Meng Advisor: Huimin Chung Abstract: The relation between volume of trade and stock prices has received increasing attention from both academic researchers and market practitioners. Most empirical studies found positive relation between stock-return volatility and volume. The purpose of this thesis is to examine the roles of the number of trades, size of trades, and order imbalance in explaining the volatility-volume relation for samples of NYSE and NASDAQ stocks from the TAQ database. We estimate the modified Two-Stage Least Square model of Jones et.al (1994). Our results reconfirm the significance of the size of trades, beyond that of the number of trades, in the volatility-volume relation on both markets. After controlling for the return impact of order imbalance, the volatility-volume relation becomes much weaker, and order imbalance is not a non-rational persistent phenomenon. Additionally, on the competitive structure of NASDAQ the effect of recent market reforms has improved the competitive and microstructure significantly.