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
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spelling doaj-d67a90de089747e5a6d15f3d6747749b2021-04-28T23:01:43ZengMDPI AGInternational Journal of Financial Studies2227-70722021-04-019242410.3390/ijfs9020024Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking SystemAthanasios Tsagkanos0Konstantinos Gkillas1Christoforos Konstantatos2Christos Floros3Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, GreeceDepartment of Management Science & Technology, University of Patras, Megalou Aleksandrou 1, Koukouli, 26334 Patras, GreeceDepartment of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, GreeceDepartment of Accounting and Finance, Hellenic Mediterranean University, P.O. Box 1939, 72100 Crete, GreeceThe 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 includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.https://www.mdpi.com/2227-7072/9/2/24volatilityvolumerealized measuresintraday dataextreme value theorybanks
collection DOAJ
language English
format Article
sources DOAJ
author Athanasios Tsagkanos
Konstantinos Gkillas
Christoforos Konstantatos
Christos Floros
spellingShingle Athanasios Tsagkanos
Konstantinos Gkillas
Christoforos Konstantatos
Christos Floros
Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
International Journal of Financial Studies
volatility
volume
realized measures
intraday data
extreme value theory
banks
author_facet Athanasios Tsagkanos
Konstantinos Gkillas
Christoforos Konstantatos
Christos Floros
author_sort Athanasios Tsagkanos
title Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
title_short Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
title_full Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
title_fullStr Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
title_full_unstemmed Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System
title_sort does trading volume drive systemic banks’ stock return volatility? lessons from the greek banking system
publisher MDPI AG
series International Journal of Financial Studies
issn 2227-7072
publishDate 2021-04-01
description 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 includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.
topic volatility
volume
realized measures
intraday data
extreme value theory
banks
url https://www.mdpi.com/2227-7072/9/2/24
work_keys_str_mv AT athanasiostsagkanos doestradingvolumedrivesystemicbanksstockreturnvolatilitylessonsfromthegreekbankingsystem
AT konstantinosgkillas doestradingvolumedrivesystemicbanksstockreturnvolatilitylessonsfromthegreekbankingsystem
AT christoforoskonstantatos doestradingvolumedrivesystemicbanksstockreturnvolatilitylessonsfromthegreekbankingsystem
AT christosfloros doestradingvolumedrivesystemicbanksstockreturnvolatilitylessonsfromthegreekbankingsystem
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