文章基本信息

标题：The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds
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作者：Negrea, Bogdan ; Tatu, Lucian ; Stoian, Andreea 等
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2008
卷号：11(528)
期号：11(528)
页码：31-36
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：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.
关键词：volatility; trade volume; number of transactions; liquidity; capital market.