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Synopsis
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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Miss Rawoo Ayesha has successfully completed her Bsc(Hons) Finance at the University of Mauritius. Her Research is mainly based on Trading volume, volatility and leverage : an analysis in the stock market of Mauritius.
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Trading Volume, Volatility And Leverage
Published by
LAP LAMBERT Academic Publishing Aug 2011, 2011
ISBN 10: 3845438029
ISBN 13: 9783845438023
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Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 64 pp. Englisch. Seller Inventory # 9783845438023
Quantity: 2 available
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Trading Volume, Volatility And Leverage
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3845438029
ISBN 13: 9783845438023
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Rawoo AyeshaMiss Rawoo Ayesha has successfully completed her Bsc(Hons) Finance at the University of Mauritius. Her Research is mainly based on Trading volume, volatility and leverage : an analysis in the stock market of Mauritius. Seller Inventory # 5482593
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Trading Volume, Volatility And Leverage
Published by
LAP LAMBERT Academic Publishing Aug 2011, 2011
ISBN 10: 3845438029
ISBN 13: 9783845438023
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Neuware -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.Books on Demand GmbH, Überseering 33, 22297 Hamburg 64 pp. Englisch. Seller Inventory # 9783845438023
Quantity: 2 available
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Trading Volume, Volatility And Leverage : An Analysis in the Stock Market of Mauritius
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3845438029
ISBN 13: 9783845438023
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9783845438023
Quantity: 1 available