Stock returns versus trading volume: is the correspondence more general?

Abstract

This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently long period of time, we study the return and volume distributions and identify their consistency with the power-law functions. We find that, for majority of stocks, the scaling exponents of both distri- butions are systematically related by about a factor of 2 with the ones for the returns being larger. Second, we study the empirical price impact of trades of a given volume and find that this impact can be well described by a square-root dependence: r(V) V^(1/2). We conclude that the prop- erties of data from the Polish market resemble those reported in literature concerning certain mature markets.

References in corpus (6)

• An Introduction to the Thermodynamic and Macrostate Levels of Nonequivalent Ensembles
• Partial equivalence of statistical ensembles and kinetic energy
• Generalized canonical ensembles and ensemble equivalence
• The generalized canonical ensemble and its universal equivalence with the microcanonical ensemble
• Nonequivalence of ensembles for long-range quantum spin systems in optical lattices
• Calculations of canonical averages from the grand canonical ensemble

Cited by in corpus (22)

• Multiscale characteristics of the emerging global cryptocurrency market
• Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
• Multifractal characterization of gold market: a multifractal detrended fluctuation analysis
• Quantitative approach to multifractality induced by correlations and broad distribution of data
• Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
• Consentaneous agent-based and stochastic model of the financial markets
• Financial Return Distributions: Past, Present, and COVID-19
• Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
• Crossover from linear to square-Root market impact
• Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
• Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
• What is mature and what is still emerging in the cryptocurrency market?
• Anomalous diffusion in nonlinear transformations of the noisy voter model
• Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
• Order book model with herd behavior exhibiting long-range memory
• Approaching multifractal complexity in decentralized cryptocurrency trading
• The consentaneous model of the financial markets exhibiting spurious nature of long-range memory
• Interplay between endogenous and exogenous fluctuations in financial markets
• Understanding the nature of the long-range memory phenomenon in socioeconomic systems
• Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
• Herding interactions as an opportunity to prevent extreme events in financial markets
• Tsallis entropy for cross-shareholding network configurations