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Intra-group and inter-group trading differentiation analysis: A new approach for detecting the effect of trading volume on stock market fluctuations

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  • Bolgorian, Meysam

Abstract

Analyzing statistical properties of stock market data using statistical physics has received much attention from physicists and economists in recent years. Although some statistical characteristics of stock market data such as power-low tails of stock returns have become established fact, behavior of other related variables such as trading volume are less studied. In this paper, in order to examine the impact of trading volume on statistical properties of stock market returns, different trading behavior of different traders in Tehran Stock Exchange is analyzed. We define a new coefficient which measures the equilibrium between these different forces affecting the market at any given trading day. By adjusting market returns by this coefficient, we also assessed the impact of these forces on the statistical properties of stock market returns.

Suggested Citation

  • Bolgorian, Meysam, 2011. "Intra-group and inter-group trading differentiation analysis: A new approach for detecting the effect of trading volume on stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4403-4410.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:23:p:4403-4410
    DOI: 10.1016/j.physa.2011.07.019
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    References listed on IDEAS

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    1. Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
    2. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, vol. 33(2), pages 173-199, April.
    3. Chan, Louis K C & Lakonishok, Josef, 1995. "The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-1174, September.
    4. Johnson, Neil F. & Jefferies, Paul & Hui, Pak Ming, 2003. "Financial Market Complexity," OUP Catalogue, Oxford University Press, number 9780198526650.
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    Cited by:

    1. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.

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    Keywords

    Stock market; Trading volume;

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