Volatility of Returns, Variations in Prices and Volume Traded: Evidence from the Main Stocks in Brazil

19 Pages Posted: 19 Jul 2009  

William Eid Jr.

Getulio Vargas Foundation (FGV)

Cesar Nazareno Caselani

affiliation not provided to SSRN

Date Written: 2005

Abstract

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.

Keywords: Brazil, stock price determinants, volatility

JEL Classification: G00

Suggested Citation

Eid Jr., William and Caselani, Cesar Nazareno, Volatility of Returns, Variations in Prices and Volume Traded: Evidence from the Main Stocks in Brazil (2005). Available at SSRN: https://ssrn.com/abstract=1435309 or http://dx.doi.org/10.2139/ssrn.1435309

William Eid Jr. (Contact Author)

Getulio Vargas Foundation (FGV) ( email )

Rua Itapeva 474 9 andar
Rio de Janeiro, 01332-000
Brazil

Cesar Nazareno Caselani

affiliation not provided to SSRN

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