Volatility of Returns, Variations in Prices and Volume Traded: Evidence from the Main Stocks in Brazil
19 Pages Posted: 19 Jul 2009
Date Written: 2005
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: Suggested Citation