Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257769 
Year of Publication: 
2021
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 9 [Issue:] 2 [Article No.:] 24 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
extreme value theory
banks
Greece
intraday data
realized measures
volatility
volume
JEL: 
F65
G11
G12
G24
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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