Volume, Volatility and Stock Return on the Romanian Stock Market Dissertation paper. MSc Student: Valentin STANESCU Supervisor: Professor Moisa ALTAR. Previous research about volume. Lamorieux and Laplace (1991) Gallant, Rossi and Tauchen (1992) Karpoff (1987)
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Professor Moisa ALTAR
Long term analysis is not a goal of the paper
Short term trend might contain relevant information
Note the persistence in volatility
Notice how the volume spikes up when the volatility increases
Sometimes the reaction of the volume follows the increase of the volatility (continuous line) but sometimes it precedes the turbulent period (dotted line).
Is there a link between the two?
Volume causes the variance but there is no linear relation to the return
Lags of variance and volume explain 80% of the variance
There is no more persistence in volatility
Significant coefficients but small and irrelevant R squared.