Picture of neon light reading 'Open'

Discover open research at Strathprints as part of International Open Access Week!

23-29 October 2017 is International Open Access Week. The Strathprints institutional repository is a digital archive of Open Access research outputs, all produced by University of Strathclyde researchers.

Explore recent world leading Open Access research content this Open Access Week from across Strathclyde's many research active faculties: Engineering, Science, Humanities, Arts & Social Sciences and Strathclyde Business School.

Explore all Strathclyde Open Access research outputs...

A reexamination of the relationship between volatility, liquidity and trading activity

Kyaw, Khine and Hillier, David (2013) A reexamination of the relationship between volatility, liquidity and trading activity. Pecvnia. Revista de la Facultad de Ciencias Económicas y Empresariales, Universidad de León, 2011. pp. 33-45. ISSN 2340-4272

[img]
Preview
Text (Kyaw-Hillier-Pecvina2013-A-reexamination-of-the-relationship-between-volatility-liquidity)
Kyaw_Hillier_Pecvina2013_A_reexamination_of_the_relationship_between_volatility_liquidity.pdf - Final Published Version
License: Creative Commons Attribution-NonCommercial-ShareAlike 4.0 logo

Download (175kB) | Preview

Abstract

We investigate whether the relationship between equity trading activity, market liquidity and return volatility at the portfolio level is similar to the relationship at the individual security level. For the very largest firm-size portfolio, higher trading activity is positively associated with greater liquidity and more volatile returns. However, despite the volatility-liquidity relationship being the same for smaller equity portfolios, we find that higher trading activity is negatively associated with liquidity for this grouping. These contrasting relationships are shown to be caused by the interdynamics between all three variables and once we control for these interrelationships, the contrasting results disappear. The findings contribute to the debate on market behaviour that has taken on renewed vigour in recent years.