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The Impact of Trade Characteristics on Stock Return Volatility: Evidence from the Australian Stock Exchange*

The Impact of Trade Characteristics on Stock Return Volatility: Evidence from the Australian... This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data from the Australian Stock Exchange, the trading frequency of medium sized trades is found to have the greatest impact on stock return volatility. The result lends support to the stealth trading hypothesis (Barclay and Warner, 1993). After controlling for trading frequency, the average trade size is found to have little explanatory power on price volatility. Stock return volatility is more sensitive to buyer‐initiated trades than seller‐initiated trades, especially so for buyer‐initiated medium sized trades. This finding is consistent with the assertion that information effects are stronger for buys than for sells (Chan and Lakonishok, 1993). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Journal of Financial Studies Wiley

The Impact of Trade Characteristics on Stock Return Volatility: Evidence from the Australian Stock Exchange*

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Publisher
Wiley
Copyright
Copyright © 2009 Wiley Subscription Services
ISSN
1226-1165
eISSN
2041-6156
DOI
10.1111/j.2041-6156.2009.tb00011.x
Publisher site
See Article on Publisher Site

Abstract

This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data from the Australian Stock Exchange, the trading frequency of medium sized trades is found to have the greatest impact on stock return volatility. The result lends support to the stealth trading hypothesis (Barclay and Warner, 1993). After controlling for trading frequency, the average trade size is found to have little explanatory power on price volatility. Stock return volatility is more sensitive to buyer‐initiated trades than seller‐initiated trades, especially so for buyer‐initiated medium sized trades. This finding is consistent with the assertion that information effects are stronger for buys than for sells (Chan and Lakonishok, 1993).

Journal

Asia-Pacific Journal of Financial Studies – Wiley

Published: Jan 1, 2009

Keywords: ; ; ; ;

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