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Conference Paper: A Study of Mutual Fund Flow and Market Return Volatility

TitleA Study of Mutual Fund Flow and Market Return Volatility
Authors
Issue Date2004
PublisherAsian Finance Association
Citation
Asian Finance Association Annual Conference, Taipei, Taiwan, 2004 How to Cite?
AbstractIn this paper, we examine the dynamics of the price change-trading volume relation at the aggregate market/index level. We introduce the use of a novel “volume dispersion” measure designed to proxy for the variability in firm-specific information flows across securities that comprise the market. Our results suggest that the price change-volume relation can be strengthened by the introduction of this measure. We also offer evidence of a positive relation between market volatility and trading volume and a negative relation between market volatility and volume dispersion. Furthermore, we demonstrate that lagged values of market level trading volume and volume dispersion can predict the next day’s index level volatility. Our findings remain robust when the implied volatility of the S&P 100 index options is used in the analysis. This suggests that index option traders need to pay close attention to both aggregate market level trading volume and volume dispersion to better capture the dynamics of daily market volatility.
Persistent Identifierhttp://hdl.handle.net/10722/112233

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_HK
dc.contributor.authorWang, Yen_HK
dc.date.accessioned2010-09-26T03:23:21Z-
dc.date.available2010-09-26T03:23:21Z-
dc.date.issued2004en_HK
dc.identifier.citationAsian Finance Association Annual Conference, Taipei, Taiwan, 2004-
dc.identifier.urihttp://hdl.handle.net/10722/112233-
dc.description.abstractIn this paper, we examine the dynamics of the price change-trading volume relation at the aggregate market/index level. We introduce the use of a novel “volume dispersion” measure designed to proxy for the variability in firm-specific information flows across securities that comprise the market. Our results suggest that the price change-volume relation can be strengthened by the introduction of this measure. We also offer evidence of a positive relation between market volatility and trading volume and a negative relation between market volatility and volume dispersion. Furthermore, we demonstrate that lagged values of market level trading volume and volume dispersion can predict the next day’s index level volatility. Our findings remain robust when the implied volatility of the S&P 100 index options is used in the analysis. This suggests that index option traders need to pay close attention to both aggregate market level trading volume and volume dispersion to better capture the dynamics of daily market volatility.-
dc.languageengen_HK
dc.publisherAsian Finance Association-
dc.relation.ispartofAsian Finance Association Annual Conferenceen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleA Study of Mutual Fund Flow and Market Return Volatilityen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailChang, EC: ecchang@business.hku.hken_HK
dc.identifier.authorityChang, EC=rp01050en_HK
dc.description.naturepostprint-
dc.identifier.hkuros101111en_HK

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