When noise trading fades, volatility rises

详细信息    查看全文

• 作者：Jinliang Li
• 关键词：Noise trading ; Liquidity ; Volatility ; Volume ; Trade size
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：47
• 期：3
• 页码：475-512
• 全文大小：784 KB
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Accounting and Auditing
  Econometrics
  Operation Research and Decision Theory
  
• 出版者：Springer Netherlands
• ISSN：1573-7179
• 卷排序：47

文摘

We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: volume and noisiness. As represented by the expected turnover rate (volume) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with the ex post and ex ante return volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between noisiness and volatility is amplified in times of market crisis. The negative noisiness–volatility relation is also supported by our analysis on the effects of trade size on price volatility. The overall results demonstrate that volatility increases as noise trading declines.