Titre
The Impact of Trades on Daily Volatility
Type
article
Institution
Externe
Périodique
Auteur(s)
Avramov, D.
Auteure/Auteur
Chordia, T.
Auteure/Auteur
Goyal, A.
Auteure/Auteur
Liens vers les personnes
ISSN
0893-9454
Statut éditorial
Publié
Date de publication
2006
Volume
19
Numéro
4
Première page
1241
Dernière page/numéro d’article
1277
Peer-reviewed
Oui
Langue
anglais
Résumé
This article proposes a trading-based explanation for the asymmetric effect in daily volatility of individual stock returns. Previous studies propose two major hypotheses for this phenomenon: leverage effect and time-varying expected returns. However, leverage has no impact on asymmetric volatility at the daily frequency and, moreover, we observe asymmetric volatility for stocks with no leverage. Also, expected returns may vary with the business cycle, that is, at a lower than daily frequency. Trading activity of contrarian and herding investors has a robust effect on the relationship between daily volatility and lagged return. Consistent with the predictions of the rational expectation models, the non-informational liquidity-driven (herding) trades increase volatility following stock price declines, and the informed (contrarian) trades reduce volatility following stock price increases. The results are robust to different measures of volatility and trading activity.
Sujets
PID Serval
serval:BIB_DD59D1A8332E
Date de création
2009-07-07T12:37:05.013Z
Date de création dans IRIS
2025-05-21T05:07:23Z