Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System

Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System

The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period inclu...

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Bibliographic Details
Main Authors: Athanasios Tsagkanos, Konstantinos Gkillas, Christoforos Konstantatos, Christos Floros
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:International Journal of Financial Studies
Subjects:
volatility
volume
realized measures
intraday data
extreme value theory
banks
Online Access:https://www.mdpi.com/2227-7072/9/2/24

Internet

https://www.mdpi.com/2227-7072/9/2/24

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