When noise trading fades, volatility rises

被引：2
作者：
Li J. [1 ]
机构：
[1] School of Economics and Management, Tsinghua University, Beijing
来源：
Review of Quantitative Finance and Accounting | 2016年 / 47卷 / 3期
基金：
中国国家自然科学基金;
关键词：
Liquidity; Noise trading; Trade size; Volatility; Volume;
D O I：
10.1007/s11156-015-0508-2
中图分类号：
学科分类号：
摘要：
We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: volume and noisiness. As represented by the expected turnover rate (volume) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with the ex post and ex ante return volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between noisiness and volatility is amplified in times of market crisis. The negative noisiness–volatility relation is also supported by our analysis on the effects of trade size on price volatility. The overall results demonstrate that volatility increases as noise trading declines. © 2015, Springer Science+Business Media New York.
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收藏
页码：475 / 512
页数：37
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