English, Article edition: Transactions, volume and volatility: evidence from an emerging market Cetin Ciner; William H. Sackley

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Bookmark: http://trove.nla.gov.au/version/50718
Physical Description
  • article
Language
  • English

Edition details

Title
  • Transactions, volume and volatility: evidence from an emerging market
Author
  • Cetin Ciner
  • William H. Sackley
Physical Description
  • article
Notes
  • We examine the volume-volatility relation, which has previously been reported as positive in many markets, for the emerging market of Taiwan. Our findings suggest that the positive volume-volatility relation is driven entirely by daily number of trades. In fact, we observe a negative relation between trade size and volatility. Although the impact of individual (vs. institutional) traders may be greater in emerging markets, these findings have implications for market microstructure models and the design of electronic call market auctions.
  • RePEc:taf:apfelt:v:3:y:2007:i:3:p:161-164
Language
  • English
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