The Measures of the Quality of Trading in a Stock: Empirical Evidence from the National Stock Exchange (India)

15 Pages Posted: 6 Sep 2004

See all articles by Arindam Banerjee

Arindam Banerjee

Institute of Chartered Financial Analysts of India (ICFAI) - ICFAI School of Financial Studies (ISFS)

Arup Ghosh

Envestnet Asset Management

Date Written: July 20, 2004

Abstract

The quality of trading in a stock depends on many factors; of which information asymmetry is suppose to be only one. The three common measures of quality are Float, Turnover and Bid - ask spread (i.e. the impact cost of shares). In our study two additional factors have been taken and they are Standard Deviation and Return generated as compared to the index. Our study is based on the Indian Stock market and the top traded stocks have been taken to ascertain their quality. Our study has found out that in some of the characteristics the 10 top traded stocks behave as expected while in some other areas they behave in an inappropriate manner. This brings us to the conclusion that the Indian market is not perfect in nature and there are imperfections in it which along with other factors play a significant role.

Keywords: quality of a stock, float, turnover, bid-ask spread

JEL Classification: N25

Suggested Citation

Banerjee, Arindam and Ghosh, Arup, The Measures of the Quality of Trading in a Stock: Empirical Evidence from the National Stock Exchange (India) (July 20, 2004). Available at SSRN: https://ssrn.com/abstract=570546 or http://dx.doi.org/10.2139/ssrn.570546

Arindam Banerjee (Contact Author)

Institute of Chartered Financial Analysts of India (ICFAI) - ICFAI School of Financial Studies (ISFS) ( email )

Hyderabad, 500082
India
9849112541 (Phone)

Arup Ghosh

Envestnet Asset Management

Bhadra Towers
Cotton Hill Road
Trivandrum, Kerala 695003
India

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