Intraday prices and trading volume relationship in Singapore.
This paper examines the intraday stock returns and trading relationship in one of the most open and dynamic Asian markets – Singapore. Average trading volume is found to be a function of the time of the day for all days of the week but not a function of the day of the week. Average returns is found...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/11637 |
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| Institution: | Nanyang Technological University |
| Summary: | This paper examines the intraday stock returns and trading relationship in one of the most open and dynamic Asian markets – Singapore. Average trading volume is found to be a function of the time of the day for all days of the week but not a function of the day of the week. Average returns is found to be neither a function of the day of the week nor time of the day. For the contemporaneous relation between trading volume and absolute value of return, we found that there exists a significant positive relationship. |
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