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Trading Volume, Volatility And Leverage

Trading Volume, Volatility And Leverage

          
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About the Book

Knowledge of volatility is of crucial importance in many areas. The Stock Market of Mauritius did not remain untouched. This paper explores the relationship between trading volume, volatility and leverage in the Stock Market of Mauritius. In contrast to other studies which examine the SEMDEX or the SEM by sector, we examine the relationship for 35 listed stocks on the SEM. Daily return, volume and the SEMDEX is used for the period 2005 to 2009. We also emphasize on the impact of trading volume. The analysis shows that there exist substantial ARCH effect and volatility shocks are quite persistent in the market. The impact of both recent and old news can be found. The study also finds evidence of leverage and asymmetric effect on the Stock Market. Consistent with the results of Lamoureux and Lastrapes (1990), our results shows that the persistence of volatility decreases after volume is included in the model.


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Product Details
  • ISBN-13: 9783845438023
  • Publisher: Lap Lambert Academic Publishing
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 4 mm
  • Width: 152 mm
  • ISBN-10: 3845438029
  • Publisher Date: 24 Aug 2011
  • Height: 229 mm
  • No of Pages: 64
  • Series Title: English
  • Weight: 104 gr


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