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The volume and volatility relation in the Australian stock market

Shahzad, Hassan 2012, The volume and volatility relation in the Australian stock market, Master of Commerce thesis, School of Accounting, Economics and Finance, Deakin University.

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Title The volume and volatility relation in the Australian stock market
Author Shahzad, Hassan
Institution Deakin University
School School of Accounting, Economics and Finance
Faculty Faculty of Business and Law
Degree type Research masters
Degree name Master of Commerce
Thesis advisor Singh, Harminder
Duong, Huu Nhan
Date submitted 2012-06
Summary The thesis studies the volume-volatility relation in the Australian Securities Market. It is concluded that the number of trades is the most important variable driving realized volatility. The average trade size is significant but its explanatory power is only trivial. Order imbalance does not drive volatility in the Australian market.
Language eng
Socio Economic Objective 970114 Expanding Knowledge in Economics
Description of original 108 p.
Copyright notice ┬ęThe author
Free to Read? Yes
Use Rights Creative Commons Attribution Non-Commercial Share Alike licence
Persistent URL http://hdl.handle.net/10536/DRO/DU:30048929

Document type: Thesis
Collections: Higher degree theses (full text)
Open Access Collection
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Created: Tue, 09 Oct 2012, 09:37:25 EST by Belinda Lee

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.