Trading activity and stock price volatility: intraday and day of the week effects.

• Main Authors: Ariva., Livia., Rosita Supranata.
• Other Authors: Krishnamurti, Chandrasekhar
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/11464
• Institution: Nanyang Technological University

The purpose of this research is to establish the relationship between stock price volatility with volume, frequency, average trade size, dollar volume, and market return. This paper utilized SPSS software to determine if the independent variables have an impact on the volatility of stock price.