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Stock returns explained - using a volume filter, interest rates, and the oil price

Carlsson, Pierre LU (2011) NEKK01 20111
Department of Economics
Abstract (Swedish)
Using a volume filter on daily index and stock price data the daily return has been researched. The explanatory variables used in the study are the 1 M T-Bill, the term spread - 10 Y Treasury bond versus a 3 M T-Bill -, and the oil price. The results revealed that accounting for trade volume is an important part in explaining the return of a stock or index. The volume activity provides additional insights of when a relation between the explanatory variables and the stock return are valid. It also reveals that the relation varies significantly across different volume activity. The most reliable and consistent variables was the oil price and the term spread, both demonstrating a positive relation. The results also revealed that there are... (More)
Using a volume filter on daily index and stock price data the daily return has been researched. The explanatory variables used in the study are the 1 M T-Bill, the term spread - 10 Y Treasury bond versus a 3 M T-Bill -, and the oil price. The results revealed that accounting for trade volume is an important part in explaining the return of a stock or index. The volume activity provides additional insights of when a relation between the explanatory variables and the stock return are valid. It also reveals that the relation varies significantly across different volume activity. The most reliable and consistent variables was the oil price and the term spread, both demonstrating a positive relation. The results also revealed that there are differences between high and low turnover stocks. (Less)
Please use this url to cite or link to this publication:
author
Carlsson, Pierre LU
supervisor
organization
course
NEKK01 20111
year
type
M2 - Bachelor Degree
subject
keywords
Interest rate, Information asymmetry, Econometrics, Oil price, and Volume.
language
English
id
1973769
date added to LUP
2011-06-16 14:27:06
date last changed
2011-07-25 04:50:38
@misc{1973769,
  abstract     = {Using a volume filter on daily index and stock price data the daily return has been researched. The explanatory variables used in the study are the 1 M T-Bill, the term spread - 10 Y Treasury bond versus a 3 M T-Bill -, and the oil price. The results revealed that accounting for trade volume is an important part in explaining the return of a stock or index. The volume activity provides additional insights of when a relation between the explanatory variables and the stock return are valid. It also reveals that the relation varies significantly across different volume activity. The most reliable and consistent variables was the oil price and the term spread, both demonstrating a positive relation. The results also revealed that there are differences between high and low turnover stocks.},
  author       = {Carlsson, Pierre},
  keyword      = {Interest rate,Information asymmetry,Econometrics,Oil price,and Volume.},
  language     = {eng},
  note         = {Student Paper},
  title        = {Stock returns explained - using a volume filter, interest rates, and the oil price},
  year         = {2011},
}