Batrinca, B;
Hesse, CW;
Treleaven, PC;
(2018)
Examining drivers of trading volume in European markets.
International Journal of Finance and Economics
, 23
(2)
pp. 134-154.
10.1002/ijfe.1608.
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Abstract
This study presents an in-depth exploration of market dynamics and analyses potential drivers of trading volume. The study considers established facts from the literature, such as calendar anomalies, the correlation between volume and price change, and this relation's asymmetry, while proposing a variety of time series models. The results identified some key volume predictors, such as the lagged time series volume data and historical price indicators (e.g. intraday range, intraday return, and overnight return). Moreover, the study provides empirical evidence for the price–volume relation asymmetry, finding an overall price asymmetry in over 70% of the analysed stocks, which is observed in the form of a moderate overnight asymmetry and a more salient intraday asymmetry. We conclude that volatility features, more recent data, and day-of-the-week features, with a notable negative effect on Mondays and Fridays, improve the volume prediction model.
| Type: | Article |
|---|---|
| Title: | Examining drivers of trading volume in European markets |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1002/ijfe.1608 |
| Publisher version: | http://doi.org/10.1002/ijfe.1608 |
| Language: | English |
| Additional information: | This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. © 2018 The Authors. International Journal of Finance & Economics Published by John Wiley & Sons Ltd |
| Keywords: | Asymmetric models, behavioural finance, European stock market, feature selection, price volume relation, trading volume |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10046952 |
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