Trading Volume, Information, and Trading Costs: Empirical Evidence

ABSTRACT This study empirically examines the role of shocks to macro-uncertainty in shaping the responses of stock market participants to firm-specific earnings news. Specifically, I find that investors place greater weight on bad news following an increase in macro-uncertainty. By contrast, I find that investors place equal weight on both good and bad news following a decrease in macro-uncertainty. Furthermore, my findings show that these effects are more pronounced (1) for firms whose prior returns are more correlated with macro-uncertainty, (2) for firms that experience abnormally low trading volume during the earnings announcement, (3) for firms with relatively lower levels of institutional ownership, and (4) for firms with relatively higher information uncertainty. In sum, these findings provide novel empirical evidence that investors behave in a manner consistent with ambiguity aversion, with the effects strongest among unsophisticated investors.

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Weibo Attention and Stock Market Performance: Some Empirical Evidence

Complexity ◽

10.1155/2018/9571848 ◽

2018 ◽

Vol 2018 ◽

pp. 1-8

Author(s):

Minghua Dong ◽

Xiong Xiong ◽

Xiao Li ◽

Dehua Shen

Keyword(s):

Regression Analysis ◽

Stock Market ◽

Quantile Regression ◽

Empirical Evidence ◽

Trading Volume ◽

Market Performance ◽

Correlation Coefficients ◽

Investor Attention ◽

Stock Market Performance ◽

Quantile Regression Analysis

In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression analysis.

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Relationship Between FIIs’ Herding and Returns in the Indian Equity Market: Further Empirical Evidence

Global Business Review ◽

10.1177/0972150919845223 ◽

2019 ◽

pp. 097215091984522

Author(s):

Kapil Choudhary ◽

Parminder Singh ◽

Amit Soni

Keyword(s):

Stock Market ◽

Empirical Evidence ◽

Trading Volume ◽

Negative Relationship ◽

Positive Association ◽

Vital Role ◽

Market Volatility ◽

Market Returns ◽

Stock Market Returns ◽

Stock Market Trading

Empirical evidence indicates that foreign institutional investors (FIIs) play a vital role in financial markets, and being the major players, they demonstrate positive feedback trading behaviour and usually follow one another’s actions. In order to examine this phenomenon, the present study endeavoured to unearth the relationship between foreign institutional investments (FIIs) and returns in the Indian stock market, trading volume and volatility. The return of the Nifty50 index has surrogated market returns, while volatility is represented by conditional volatility computed from Nifty50, from January 1999 to May 2017. The vector autoregression (VAR) results indicate a positive association between herding among FIIs and lagged market returns, while information asymmetry has no impact on herding. On the other hand, previous-day volatility has a significant bearing on the herding measure. Overall, the results portray a significant relationship between herding and stock market returns in India. The results of multivariate regression exhibit that market return was a primary factor for FII herding during the study period under consideration, while trading volume bore no relationship with herding. In case of market volatility, the empirical results are in congruence with the fact that during the period of the volatile market, FIIs prefer to not indulge in herding. Furthermore, the results of three sub-periods, that is, before, during and after the crisis, are similar to the results of the whole study period which indicates that the return is a prime and vital force for herding; on the contrary, market volatility appears to have a negative relationship with herding.

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