IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v11(528)y2008i11(528)p31-36.html
   My bibliography  Save this article

The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds

Author

Listed:
  • Bogdan Negrea

    (Academy of Economic Studies, Bucharest)

  • Lucian Tatu

    (Academy of Economic Studies, Bucharest)

  • Andreea Stoian

    (Academy of Economic Studies, Bucharest)

Abstract

The aim of this paper is to investigate the relationship between trade volume, number of transaction and daily volatility for Romanian Financial Investments Funds. There is a large debate on this topic. The empirical results of previous literature showed that there is a strong relationship between these varables. Using OLS regressions we found that trade volume has a larger impact on daily volatility compared to the influence of number of transactions which could be considered as a proxy for liquidity.

Suggested Citation

  • Bogdan Negrea & Lucian Tatu & Andreea Stoian, 2008. "The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 11(11(528)), pages 31-36, November.
    • Handle: RePEc:agr:journl:v:11(528):y:2008:i:11(528):p:31-36
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/347.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=347&rid=43
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:11(528):y:2008:i:11(528):p:31-36. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.