TY - JOUR
T1 - The impact of trade characteristics on stock return volatility
T2 - evidence from the Australian stock exchange
AU - Zheng, Hui
AU - Frino, Alex
AU - Segara, Reuben
PY - 2009/4
Y1 - 2009/4
N2 - 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).
AB - 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).
KW - Information asymmetry
KW - Market microstructure
KW - Stealth trading
KW - Stock return volatility
KW - Trade characteristics
UR - http://www.scopus.com/inward/record.url?scp=84855218464&partnerID=8YFLogxK
U2 - 10.1111/j.2041-6156.2009.tb00011.x
DO - 10.1111/j.2041-6156.2009.tb00011.x
M3 - Article
AN - SCOPUS:84855218464
SN - 1226-1165
VL - 38
SP - 163
EP - 166
JO - Asia-Pacific Journal of Financial Studies
JF - Asia-Pacific Journal of Financial Studies
IS - 2
ER -