Since 2014
Trading volume and Arbitrage
GSTF Journal on Business Review
View Archive Info| Field | Value | |
| Title |
Trading volume and Arbitrage
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| Creator |
Darolles, Serge
Le Fol, Gaëlle |
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| Description |
Decomposing returns into market and stockspecific components is common practice and forms the basis ofpopular asset pricing models. What about volume? Can volumebe decomposed in the same way as returns? Lo and Wang(2000) suggest such a decomposition. Our paper contributes tothis literature in two different ways. First, we provide a modelto explain why volumes deviate from the benchmark. Ourinterpretation is in terms of arbitrage strategies and liquidity.Second, we propose a new efficient screening tool that allowspractitioners to extract specific information from volume timeseries. We provide an empirical illustration of the relevance andthe possible uses of our approach on daily data from the FTSEindex from 2000 to 2002. |
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| Publisher |
GSTF Journal on Business Review (GBR)
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| Date |
2017-12-29
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://dl6.globalstf.org/index.php/gbr/article/view/797
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| Source |
GSTF Journal on Business Review (GBR); Vol 3 No 3 (2014): Journal on Business Review (GBR)
2251-2888 2251-2888 |
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| Language |
eng
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| Relation |
http://dl6.globalstf.org/index.php/gbr/article/view/797/737
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| Rights |
Copyright (c) 2014 GSTF Journal on Business Review (GBR)
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