Theoretical and Applied Economics
No. 11 / 2008 (528)
The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds
Bogdan Negrea
Lucian Tatu
Andreea Stoian
Academy of Economic Studies, Bucharest
Lucian Tatu
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.
Keywords: volatility; trade volume; number of transactions; liquidity; capital market.
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Contents
Marin Dinu
- Towards a Comprehensive Policy on Entrepreneurship Education in the European Higher Education
Mihai Korka
Olav Spilling
- The Labour Mobility in the European Union: Economic and Social Determinants
Liana Son
Ioan Talpos
Ciprian Sipos
- The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds
Bogdan Negrea
Lucian Tatu
Andreea Stoian
- Application of Discriminant Analysis on Romanian Insurance Market
Constantin Anghelache
Dan Armeanu
- Environment Protection and Implementation of its Policies in Romania
Marieta Stanciu
Carmen Puiu
- An Analysis of the Romanian General Accounting Plan. Opportunities for Adaptation
to the Activity-Based Costing (ABC) Method
Sorinel Capusneanu
Irina-Alina Preda
- Productivity and Performance through Marketing Planning
Elena Enache
Cristian Morozan
