An Examination of the Relationship between Stock Return and Trading Activity Under Different Trading Systems

Greek Economic Review, Vol. 21, No 1, 19-36, Spring 2001

Posted: 7 Feb 2014

See all articles by Manolis G. Kavussanos

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Kate Phylaktis

City University London - Sir John Cass Business School

Date Written: 2001

Abstract

The purpose of the paper is to examine the effects of different trading systems, the open outcry and the electronic systems, which differ in the speed of dissemination of order flow information, on the relation between trading activity and conditional volatility, on the probability distribution of returns, and on the asymmetric impact of news. The paper draws on the experience of the Athens Stock Exchange and finds that the establishment of the automated trading system caused, a) the asymmetric effects to disappear; b) the persistence of volatility to be reduced dramatically; and c) to improve the forecast of trading activity leaving only news to affect volatility.

Suggested Citation

Kavussanos, Manolis G. and Phylaktis, Kate, An Examination of the Relationship between Stock Return and Trading Activity Under Different Trading Systems (2001). Greek Economic Review, Vol. 21, No 1, 19-36, Spring 2001. Available at SSRN: https://ssrn.com/abstract=2385862

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

Kate Phylaktis

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

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