Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System

International Journal of Financial Studies

Christos Floros¹  Athanasios Tsagkanos²  Christoforos Konstantatos²  Konstantinos Gkillas³ 

[1] Department of Accounting and Finance, Hellenic Mediterranean University, P.O. Box 1939, 72100 Crete, Greece;Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, Greece;Department of Management Science & Technology, University of Patras, Megalou Aleksandrou 1, Koukouli, 26334 Patras, Greece;

关键词: volatility;    volume;    realized measures;    intraday data;    extreme value theory;    banks;   

DOI  :  10.3390/ijfs9020024

来源: DOAJ

【 摘 要 】

The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.

【 授权许可】

Unknown