The Impact of Trading Volume to Stock Market Liquidity and Volatility
(2018) NEKN02 20181Department of Economics
- Abstract (Swedish)
- Stock market volatility has been examined for many decades and researches are trying to find an explanation to it. It has been discovered that investors behaviour such as trading volume, market liquidity and share prices are not the only variables to influence it. Interest rates, exchange rates etc., also known as macroeconomic variables are partly responsible for experienced volatility because they are influencing the investors behaviour.
The purpose of this Master thesis is to investigate does the selected index data and macroeconomic variables explain the stock market volatility in the Nordic countries. The empirical research is conducted by examining how trading volumes have influenced the stock market volatility and liquidity... (More) - Stock market volatility has been examined for many decades and researches are trying to find an explanation to it. It has been discovered that investors behaviour such as trading volume, market liquidity and share prices are not the only variables to influence it. Interest rates, exchange rates etc., also known as macroeconomic variables are partly responsible for experienced volatility because they are influencing the investors behaviour.
The purpose of this Master thesis is to investigate does the selected index data and macroeconomic variables explain the stock market volatility in the Nordic countries. The empirical research is conducted by examining how trading volumes have influenced the stock market volatility and liquidity between 2013-2017. The Author has collected different variables that are expected to influence stock market volatility, for example trading volumes, total stock turnover, bid-ask-spreads, interest rates and currency exchange rates and other countries stock market volatilities.
Briefly, it was found that before mentioned variables are not good at explaining the stock market volatility except other countries volatilities. The Nordic countries are considered rather small and their economic power is miserable when compared to countries located in Central Europe. Therefore, Finnish and Danish stock market volatility is following closely the market events in Sweden, which has the largest markets among selected countries. It was also found that trading volumes are decreasing when the high volatility period occur. Bid-ask-spreads have decreased during the past ten years and obviously high trading volumes have made the Nordic markets more efficient. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8940662
- author
- Kallio, Matias LU
- supervisor
- organization
- course
- NEKN02 20181
- year
- 2018
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Liquidity, GARCH(1, 1), Stock Market Volatility, Nordic Stock Markets, Trading Volume
- language
- English
- id
- 8940662
- date added to LUP
- 2018-07-02 15:40:06
- date last changed
- 2018-07-03 08:35:32
@misc{8940662,
abstract = {{Stock market volatility has been examined for many decades and researches are trying to find an explanation to it. It has been discovered that investors behaviour such as trading volume, market liquidity and share prices are not the only variables to influence it. Interest rates, exchange rates etc., also known as macroeconomic variables are partly responsible for experienced volatility because they are influencing the investors behaviour.
The purpose of this Master thesis is to investigate does the selected index data and macroeconomic variables explain the stock market volatility in the Nordic countries. The empirical research is conducted by examining how trading volumes have influenced the stock market volatility and liquidity between 2013-2017. The Author has collected different variables that are expected to influence stock market volatility, for example trading volumes, total stock turnover, bid-ask-spreads, interest rates and currency exchange rates and other countries stock market volatilities.
Briefly, it was found that before mentioned variables are not good at explaining the stock market volatility except other countries volatilities. The Nordic countries are considered rather small and their economic power is miserable when compared to countries located in Central Europe. Therefore, Finnish and Danish stock market volatility is following closely the market events in Sweden, which has the largest markets among selected countries. It was also found that trading volumes are decreasing when the high volatility period occur. Bid-ask-spreads have decreased during the past ten years and obviously high trading volumes have made the Nordic markets more efficient.}},
author = {{Kallio, Matias}},
language = {{eng}},
note = {{Student Paper}},
title = {{The Impact of Trading Volume to Stock Market Liquidity and Volatility}},
year = {{2018}},
}