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The volume and volatility relation in the Australian stock market

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thesis
posted on 2012-06-01, 00:00 authored by Hassan Shahzad
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.

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108 p.

Open access

  • Yes

Material type

thesis

Resource type

thesis

Language

eng

Degree type

Research masters

Degree name

Master of Commerce

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The author

Editor/Contributor(s)

H Singh, N Duong

Faculty

Faculty of Business and Law

School

School of Accounting

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