High Trading Volume Research Articles

Awareness, acceptance and penetration of Cryptocurrencies in the Indian market with special reference to Bitcoin

Bitcoin and other digital assets have seen an exponential increase in interest ever since the RBI ban was lifted during March 2020. A recent report published by Mint states that at 10.07 crores- India has the highest number of crypto owners in the world and it stood at the 5th spot at 7.3% in terms of crypto owners as percentage of total population. The industry trends indicate that a significant number of young users are trying to get into the cryptocurrency market as their most preferred investment class. The Indian cryptocurrency exchanges exhibited high trade volumes. Furthermore it was observed that the Bitcoin and other crypto currencies distinctly out performed vis-à-vis other asset class. Even though the interest in the cryptocurrencies has caught the attention of several investors in India, many are not aware of its opportunities, drawbacks and challenges for the future. Whilst the cryptocurrency market is at the infancy stage and there is devoid of adequate research on the cryptocurrencies to provide substantial guide and informed view to the academic field and users, this paper discusses the investment opportunities in the cryptocurrencies.

Volatility, trading activity and maximum lot amounts: Evidence from Borsa Istanbul

Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size is measured in Borsa Istanbul equity market. Results confirm that the number of trades has more explanatory power over the short-term volatility comparably parallel with the existing literature. The unique maximum lot amount rule, classifying stocks according to their average trade size and limiting the order size for the stocks traded, has given the chance to control for the size of the trades naturally and analyse the relation of the volatility with other trading activity figures. The number of trades is the main factor explaining the variation in the short-term volatility parallel to the literature. Results show that heterogeneous effects arise from binding of trading constraints. The spread, which is mostly equal to the price tick, has the power to explain the volatility for high trading volumes significantly. Analyses show that stealth trading is possible for thinly traded stocks.

Towards circular economy in the agrifood sector: Water footprint assessment of food loss in the Italian fruit and vegetable supply chains

In recent years, the agrifood sector has been relevantly impacted by resource shortage, food loss and waste across the whole supply chain. This study assesses, from a life cycle perspective, the water footprint of the fruit and vegetable losses occurring within the Italian agrifood supply chain, analyzing the potential linkages between circular economy policies and water management.The study methodology consists of three consequential steps: the definition of system boundaries, the data collection from databases and reports, and the processing of said data. Based on data availability of food losses, the following food items were chosen for the analysis, representing about 60% of the Italian fruits and vegetables domestic supply: tomatoes and onions for the macro-group of vegetables; orange, lemons, apples and grapes for the macro-group of fruits.Assessing the water footprint for the six categories of products, this study found out that, although less than other products, the amount of grapes lost along the supply chain determines a very high percentage of water loss. The tomato supply chain has proved to be the most sustainable in terms of water loss, due to the low amount of water needed to cultivate tomatoes. The analysis of the Italian trade market of fruits and vegetables has shown that water losses are mainly due to imports from France and Spain, in line with the high trade volumes. Finally, a weakness of the Italian fruit and vegetable supply chain was observed in the transport phase, because in this phase large quantities of food loss are associated with large volumes of water loss.Far from being the only tool to be used in the decision-making processes, the assessment of water loss embodied in the food loss, can be useful for managing the supply chain processes of perishable foods, ensuring process yield improvements, food quality traceability and environmental impact mitigation.

Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior

The aim of this paper is test for directional predictability between returns and volume (and vice versa) in the energy futures markets. The study employs a cross-quantilogram approach that enables us to assess the temporal association between two stationary time series at different parts of their joint distribution. The data are daily prices and trading volumes from five energy futures markets: West Texas Intermediate (WTI), Brent, natural gas, heating oil and gasoline. The empirical results indicate that high levels of volume lead to extreme returns. Low levels of trading activity have in general no information about future returns. Extreme returns precede extremely high trading volumes for the case of WTI only. The findings shed some additional light regarding traders’ behavior and strategies.

Expectations, disagreement and exchange rate pressure

This paper provides a novel look on the relationship between survey-based exchange rate expectations and exchange market pressure. Using monthly data for twelve emerging countries from 2003 until 2020, we show that exchange market pressure often increases disagreement among exchange rate forecasters, especially for currencies with high trading volume. This offers an explanation for increasing volatility in the spot rate through expectations after a surge in exchange market pressure. We also find that forecasters take exchange rate overshooting patterns into account. Periods of exchange rate pressure are succeeded by the belief that the domestic currency appreciates against the US dollar.

Last hour momentum in the Chinese stock market

PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.Design/methodology/approachIn this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.FindingsOverall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.Originality/valueNoise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

Capital market liberalization and auditors' accounting adjustments: Evidence from a quasi‐experiment

AbstractUsing a shock to the Chinese capital market and unique and detailed audit‐adjustment data, this paper investigates the effect of a capital market liberalization program on auditors’ adjustments to their clients’ financial reports. Employing difference‐in‐differences tests with propensity score matching and firm fixed effects (FE), we find that the capital market liberalization induced by the implementation of the Shanghai‐Hong Kong Stock Connect affects auditors’ professional judgment and leads to audit‐adjustment changes stimulated by greater reputational and litigation risks for auditors. Specifically, while the liberalization significantly decreases the frequency and magnitude of upward audit adjustments, the probability of downward adjustments remains the same in most cases. Further evidence shows that the effect is more pronounced for companies with high trading volume from Hong Kong investors, audited by the largest audit firms and with low financial transparency.

Biological invasions in Singapore and Southeast Asia: data gaps fail to mask potentially massive economic costs

The impacts of invasive alien species are well-known and are categorised as a leading contributor to biodiversity loss globally. However, relatively little is known about the monetary costs incurred from invasions on national economies, hampering management responses. In this study, we used published data to describe the economic cost of invasions in Southeast Asia, with a focus on Singapore – a biodiversity-rich, tropical island city state with small size, high human density and high trade volume, three factors likely to increase invasions. In this country, as well as in others in Southeast Asia, cost data were scarce, with recorded costs available for only a small fraction of the species known to be invasive. Yet, the overall available economic costs to Singapore were estimated to be ~ US$ 1.72 billion in total since 1975 (after accounting for inflation), which is approximately one tenth of the total cost recorded in all of Southeast Asia (US$ 16.9 billion). These costs, in Singapore and Southeast Asia, were mostly linked to insects in the family Culicidae (principally Aedes spp.) and associated with damage, resource loss, healthcare and control-related spending. Projections for 11 additional species known to be invasive in Singapore, but with recorded costs only from abroad, amounted to an additional US$ 893.13 million, showing the potential huge gap between recorded and actual costs (cost records remain missing for over 90% of invasive species). No costs within the database for Singapore – or for other Southeast Asian countries – were exclusively associated with proactive management, highlighting that a shortage of reporting on the costs of invasions is mirrored by a lack of investment in management. Moreover, invasion cost entries in Singapore were under-reported relative to import levels, but total costs exceeded expectations, based on land area and population size, and to a greater extent than in other Southeast Asian countries. Therefore, the evaluation and reporting of economic costs of invasions need to be improved in this region to provide efficient data-based support for mitigation and management of their impacts.

Trading Cryptocurrencies as a Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume

This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that investors became active participants during the COVID-19 pandemic period and traded more bitcoins on days with low mobility associated with lockdown mandates. These results remain robust after controlling for stocks and gold returns, the VIX index, and the level of attention and sentiment toward Bitcoin, as measured by Google search frequencies and the tone of Tweets discussing Bitcoin. These results suggest that when individual investors have ample free time on their hands, they trade cryptocurrencies as a pastime and use the Bitcoin market as a form of entertainment. Moreover, our results have important implications concerning investors’ herding behavior and overconfidence leading to noise trader risks and bubbles typically accompanied by high trading volume in cryptocurrency markets.

Market Efficiency - A Structural Study

I use 8 different metrics as separate objective and systematic measures of the efficiency of the market for a stock. I develop a 7-equation (6- for non-Nasdaq stocks) structural model with market efficiency as a function of exogenous factors (transaction costs & constraints, short sales costs & constraints, and dispersion in investor valuations) and endogenous market activities (trading volume, short interest, number of analysts, institutional holdings, shares outstanding, and number of market makers (for Nasdaq stocks)), and each endogenous market activity as a function of the exogenous factors and all other endogenous market activities. I propose a theoretical model that shows that higher trading volume (or another similar market activity) is caused by lower transaction costs, lower short sales costs, and/or higher dispersion of investor valuations, and therefore, that the impact on market efficiency of transaction costs or short sales costs is an empirical question. I apply 3SLS and EiV to estimate the structural system and test the corresponding hypotheses, using panel-based instrumentation strategies for endogenous and inaccurately measured variables. Analyzing Nasdaq and non-Nasdaq stocks separately, I find that the impact on market efficiency is ranked as follows: transaction costs & constraints, short sales costs & constraints, and dispersion in investor valuations, that the Fama-French Factors are important in affecting these relationships, and that market efficiency is significantly but differently associated with endogenous market activities. Detailed Regression Results: https://drive.google.com/drive/folders/1VCydoyF9iHkj4UQo1TL36ZWR02DNFKwQ?usp=sharing

Does the trading volume of asset management companies’ bonds contain information on non-performing loans?

We investigate the relationship between the transactional activity of asset management companies (AMCs) in the non-performing loan (NPL) market and their corresponding debt issuances in a niche bond market in Borsa Istanbul. We analyze the determinants of the trading volume of AMC bonds to determine whether an issue's volume can reflect bond-specific factors after controlling for firm-specific information. We employ pooled ordinary least squares and random effects panel data regressions on a monthly data set of 26 bonds traded between 2012 and 2019. We find that higher trading volume is associated with larger issues, older bonds, and issuers of long-term debt only. These results suggest that the trading volumes of such bonds decrease when NPL transactions become rare due to worsening economic and financial conditions, at which point the investor demand for new issuances declines and the AMCs are forced to issue short-term debt instead to raise funds.

Commodity markets intervention: Consequences of speculation, and informed trading

The Chinese regulatory authority's interventions into the futures market for steel during 2016 provide a rare opportunity to study the unintended consequences of interventions. Although hot rolled coil (HRC) and rebar are products with nearly identical components, their futures contracts trade separately. The regulatory authority intervened into the futures market for rebar but refrained from doing so for HRC. We document impacts of interventions measured by increased volatility, trading volume, and spreads in rebar markets. There is also evidence of informed trading in both markets, reflected by abnormally high trading volumes and low open interests occurring the day before the announcement of interventions.

An Examination of Herding Behavior in the Brazilian Equity Market

The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses. It is very difficult to effectively identify its real occurrence. Through the method of Chang et al. (2000), it is possible to show that the occurrence of herd behavior is associated with the following phenomena: high trading volume; high volatility, market downturn; and misbalancing of orders. The main contribution of the paper is to identify that herding behavior reacts asymmetrically to the sign of past shocks. The results suggest that an intense selling movement can generate uncertainty in agents, causing them to imitate others in imminent loss periods.

Why Are Developed Countries Giving Aid to India?

India is the recipient of substantial aid flows but also a nuclear-armed power and an emerging donor. Why have developed countries provided aid to one of the fastest-growing major economies in the world? Answering this question requires understanding the underlying determinants of these aid flows. Using data from 1960 to 2015, the domestic conditions of India and the external conditions of donors are empirically explored with time-series analysis and panel-data analysis. We find that during the Cold War India received more foreign aid from donors with a larger volume of trade and arms transfers, but from 2000 to 2015 the effect of arms transfers declined while countries with high trade volumes continued to give more aid. Although these findings broadly support the realist interpretation of aid, we conclude that post–Cold War structural shifts in the international aid regime and defense industries need to be considered by future researchers.

Analysis of Export Competitiveness and Intra Industry Trade of Korean Flower: Focusing on Roses, Chrysanthemums, and Lilies

Korean flowers are one of the main exporting items and have played an important role in expanding exports of Korean agricultural products. However, as the export volume has recently decreased, the need to improve the competitiveness of flower exports is increasing. The purpose of this study is to analyze the trend of export competitiveness of Korean flowers by applying RCA (Revealed Comparison Advantage Index) and CAC (Comparative Advantage by Country) and the trade pattern with Japan with high trade volume by using IIT (Intra-Industry. Trade). As a result of the analyses, the weakened export competitiveness of roses, chrysanthemums, and lilies was verified and the trade conditions have deteriorated as Intra-Industry Trade (IIT) is changing from a Horizontal Intra-Industry Trade (HIIT) to a low-quality Vertical Intra-Industry Trade (LQVIIT). Therefore, it is urgent to improve the export competitiveness of Korean flowers. In order to increase the competitiveness of flowers in Korea, the cost reduction should be focused through the localization of seed or bulb, the reduction of labor costs, and the improvement of logistics. The development of emerging markets, including China and Russia, through market research and the continuous breeding are also important.

THE IMPACT OF CROSS-COUNTRY TRADE RELATIONS on THE CONTAGION of GLOBAL FINANCIAL CRISIS: THE CASE OF TURKEY

This study has been written to examine the channels through which the global economic crises spread to the markets of countries with growing economies like Turkey. According to data from the Turkish Statistical Institute (TÜİK), stock market index data of the seven countries with high trade volume (Germany, France, UK, Russia, China, United States of Amerika and Italy) and of the seven countries with low trade volume (Botswana, Gabon, Kenya, Southern Cyprus, Iceland, New Zealand and Jamaica) between 2005 and 2011 was used. With the data used, volatility transfers occurred during the 2007-2008 crisis period were tried to be introduced with the aid of the multivariate GARCH models. As a result of the analyses, it has been determined that trade is an effective channel for transferring volatility.

Herding Phenomenon During Various Market Conditions

This paper examines the presence of the herding phenomenon in the South African market between January 2011 and December 2019. The novel contribution of this paper is to investigate if there is an asymmetric herding phenomenon during three market conditions associated to market returns, trading volume and volatility in the market. Using the CSAD measure, we provide no evidence of the herding phenomenon in the South African market. Also we report no evidence of this phenomenon during increasing and decreasing market; during days with low trading volumes and during days with high and low volatility in the market. However, we find evidence of a weak herding phenomenon during days with high trading volumes. More specifically, the herding parameter is negative and statistically at ten percent level. These findings are eminent for investors and regulators to improve their comprehension of the South African market and the investor behavior. This research can also help investors to conceive their trading strategies during various market conditions.

Government Affiliation and Peer-To-Peer Lending Platforms in China

With thousands of co-existing and competing platforms, the Chinese peer-to-peer (P2P) lending market experienced both high growth and high failure rate. We hand collect unique data for these P2P platforms and investigate the differences in performances and survivals for platforms with and without affiliations with state-owned enterprises (SOEs). P2P platforms with SOE affiliations have higher trading volumes, attract more investors, and offer lower interest rates. These platforms also survive significantly better than those without the SOE affiliations, especially during market downturns. Using P2P platforms with fake SOE affiliations as identification, we show that the SOE affiliation itself (not related to the fundamentals) is an important signal for P2P market participants. These results can be helpful to investors and regulators, especially those from other emerging markets.

Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets

Factor momentum and high volume separately work well in developed markets, but they have shown poor results in extremely volatile and illiquid emerging markets. Guided by the characteristics of illiquid markets, we combined momentum and high volume into a composite factor by a unique technique. The stability of momentum winners was improved by an increase in trading volume, which may reflect an inflow of foreign money. The problem of volatility and momentum crashes disappeared with the inclusion of a volatility switch for each stock in the portfolio. The daily calculation of volatility for a possible closing of the position for each stock is due to the spike volatility and a small number of liquid securities. This combination of factors allows us to capture significant inefficiency of a diversified market using Russia as an example and shed light on the puzzle of factor investing.

The Dynamic Impacts of the Global Shipping Market under the Background of Oil Price Fluctuations and Emergencies

With growing uncertainty about the evolution of the global landscape, it is of great practical significance to explore the nonlinear dynamic adjustment relationship among the world oil market, the global bulk shipping market, the stock market, and economic growth in China. This paper applied the TVP-SV-VAR model and selected quarterly data from 1998 to 2020 to explore the dynamics. The results indicated that the impact intensity of BDI on China’s economy had a “positive” to “negative” change in different lag periods. This was mainly due to the fact that the negative impact of higher freight prices on China’s economy outweighed the positive impact of higher trade volumes on China’s economy. The impact intensity of BDI on GDP had a distinct medium- to long-term effect. A positive BDI shock had a dampening effect on stock prices in the short and medium term, while a positive BDI shock could promote stock market prosperity in the long-term perspective. The impulse responses of SSE and GDP to BDI showed that the external shipping market shocks to China’s stock market and economic growth gradually became smaller over time. For impulse response at three different time points, the impact intensity of the BDI to GDP varied at different time points, with the largest shock during the financial crisis in 2008, followed by the shock during the oil price crash in 2014, and the smallest during the COVID-19 epidemic. This demonstrated that the external shipping market’s influence on Chinese economic growth and stock market has gradually weakened over time, illustrating the enhancement of Chinese risk-resilience capacity.