How does trading volume affect financial return distributions?

Do, HX; Brooks, R; Treepongkaruna, S; Wu, E

How does trading volume affect financial return distributions?

Do, HX

Brooks, R Treepongkaruna, S Wu, E

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Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2014, 35 pp. 190 - 206
Issue Date:: 2014-10-01

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Field	Value	Language
dc.contributor.author	Do, HX https://orcid.org/0000-0001-7662-5566	en_US
dc.contributor.author	Brooks, R	en_US
dc.contributor.author	Treepongkaruna, S	en_US
dc.contributor.author	Wu, E https://orcid.org/0000-0003-3937-8660	en_US
dc.date.available	2020-05-25T19:06:04Z
dc.date.issued	2014-10-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2014, 35 pp. 190 - 206	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/30416
dc.description.abstract	© 2014 Elsevier Inc.All rights reserved. We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further contribute new evidence of cross market relations between volume and volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more diversified regional portfolios. Furthermore, the negative interaction between volume and kurtosis can be explained by the differences of opinion in financial markets. We observe stronger interdependence among higher moments in reaction to significant events, but the strength is dampened by trading volume. This result is consistent with trading volume being a source of heteroskedasticity in asset returns.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2014.09.003	en_US
dc.subject.classification	Finance	en_US
dc.title	How does trading volume affect financial return distributions?	en_US
dc.type	Journal Article
utslib.citation.volume	35	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1801 Law	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	35	en_US

Abstract:

© 2014 Elsevier Inc.All rights reserved. We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further contribute new evidence of cross market relations between volume and volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more diversified regional portfolios. Furthermore, the negative interaction between volume and kurtosis can be explained by the differences of opinion in financial markets. We observe stronger interdependence among higher moments in reaction to significant events, but the strength is dampened by trading volume. This result is consistent with trading volume being a source of heteroskedasticity in asset returns.

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http://hdl.handle.net/10453/30416