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Examining drivers of trading volume in European markets
Author(s) -
Batrinca Bogdan,
Hesse Christian W.,
Treleaven Philip C.
Publication year - 2018
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1608
Subject(s) - econometrics , asymmetry , economics , volatility (finance) , volume (thermodynamics) , financial economics , salient , computer science , physics , quantum mechanics , artificial intelligence
This study presents an in‐depth exploration of market dynamics and analyses potential drivers of trading volume. The study considers established facts from the literature, such as calendar anomalies, the correlation between volume and price change, and this relation's asymmetry, while proposing a variety of time series models. The results identified some key volume predictors, such as the lagged time series volume data and historical price indicators (e.g. intraday range, intraday return, and overnight return). Moreover, the study provides empirical evidence for the price–volume relation asymmetry, finding an overall price asymmetry in over 70% of the analysed stocks, which is observed in the form of a moderate overnight asymmetry and a more salient intraday asymmetry. We conclude that volatility features, more recent data, and day‐of‐the‐week features, with a notable negative effect on Mondays and Fridays, improve the volume prediction model.