𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Information technology and its impact on stock returns and trading volume

✍ Scribed by Uri Benzion; Tchai Tavor; Joseph Yagil

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
146 KB
Volume
15
Category
Article
ISSN
1076-9307

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study investigates the impact of information technology on common stock returns and trading volume. By focusing mainly on the peak period of the hi‐tech phenomenon, the findings imply that the market response to website launching is positive. During the event day and the two preceding days, the abnormal stock return and the abnormal trading volume both are positive and statistically significant. In particular, the impact is stronger for non‐US firms than for domestic companies, for initial rather than subsequent site launches, for those sites that are launched on Monday rather than on other days of the week, and for innovative industries such as electronics and computers. As expected, while the launch of a website had a stronger effect at the beginning of the hi‐tech phenomenon, the impact has diminished in later years. Copyright Β© 2009 John Wiley & Sons, Ltd.

πŸ“œ SIMILAR VOLUMES

Stock return dynamics, option volume, an
Stock return dynamics, option volume, and the information content of implied volatility
✍ Stewart Mayhew; Chris Stivers πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 192 KB πŸ‘ 2 views

## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex

Evidence on the effect of information an
Evidence on the effect of information and noise trading on intraday gold futures returns
✍ Beni Lauterbach; Margaret Monroe πŸ“‚ Article πŸ“… 1989 πŸ› John Wiley and Sons 🌐 English βš– 468 KB

everal studies such as and document that S equity returns are more volatile during trading hours than during non-trading hours. In a recent paper, examine the behavior of the daily (close to close) returns of all NYSE and AMEX stocks. They find that trading hour return variance is much higher th

New evidence on the relation between ret
New evidence on the relation between return volatility and trading volume
✍ Thomas C. Chiang; Zhuo Qiao; Wing-Keung Wong πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 122 KB

## Abstract In the empirical literature, it has been shown that there exists both linear and non‐linear bi‐directional causality between trading volumes and return volatility (measured by the square of daily return). We re‐examine this claim by using realized volatility as an estimator of the unobs