The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
The Impact of Trades on Daily Volatility
Open accessAbstract
This article proposes a trading-based explanation for the asymmetric effect in daily volatility of individual stock returns. Previous studies propose two major hypotheses for this phenomenon: leverage effect and time-varying expected returns. However, leverage has no impact on asymmetric volatility at the daily frequency and, moreover, we observe asymmetric volatility for stocks with no leverage. Also, expected returns may vary with the business cycle, that is, at a lower than daily frequency. Trading activity of contrarian and herding investors has a robust effect on the relationship between daily volatility and lagged return. Consistent with the predictions of the rational expectation models, the non-informational liquidity-driven (herding) trades increase volatility following stock price declines, and the informed (contrarian) trades reduce volatility following stock price increases. The results are robust to different measures of volatility and trading activity. (JEL C30, G11, G12)
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Cites
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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Expected stock returns and volatility
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Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Inferring Trade Direction from Intraday Data
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Cited by
Short-Sale Strategies and Return Predictability
Diether, K. B., Lee, K.-H., & Werner, I. M. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn047 · Cited by 730
Liquidity and Autocorrelations in Individual Stock Returns
AVRAMOV, D., CHORDIA, T., & GOYAL, A. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.01060.x · Cited by 469
Self-citationBehavioural biases in investment decision making – a systematic literature review
Kumar, S., & Goyal, N. (2015) · Qualitative Research in Financial Markets · doi:10.1108/qrfm-07-2014-0022 · Cited by 331
Metadata
- Authors
- Avramov, D., Chordia, T., & Goyal, A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2006
- Volume
- 19
- Issue
- 4
- Pages
- 1241-1277
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3122446295
- Cited by
- 268
- References
- 49
- FWCI
- 15.33
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
