Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

Detalhes bibliográficos
Autor(a) principal: Caselani, César Nazareno
Data de Publicação: 2005
Outros Autores: Eid Júnior, William
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/15565
Resumo: 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.
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spelling Caselani, César NazarenoEid Júnior, WilliamEscolas::EAESP2016-02-25T15:13:05Z2016-02-25T15:13:05Z2005http://hdl.handle.net/10438/15565We 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. 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dc.title.eng.fl_str_mv Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
title Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
spellingShingle Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
Caselani, César Nazareno
Stock price determinants
Finanças
Taxas de juros
title_short Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
title_full Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
title_fullStr Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
title_full_unstemmed Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
title_sort Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
author Caselani, César Nazareno
author_facet Caselani, César Nazareno
Eid Júnior, William
author_role author
author2 Eid Júnior, William
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EAESP
dc.contributor.author.fl_str_mv Caselani, César Nazareno
Eid Júnior, William
dc.subject.eng.fl_str_mv Stock price determinants
topic Stock price determinants
Finanças
Taxas de juros
dc.subject.area.por.fl_str_mv Finanças
dc.subject.bibliodata.por.fl_str_mv Taxas de juros
description 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.
publishDate 2005
dc.date.issued.fl_str_mv 2005
dc.date.accessioned.fl_str_mv 2016-02-25T15:13:05Z
dc.date.available.fl_str_mv 2016-02-25T15:13:05Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/15565
url http://hdl.handle.net/10438/15565
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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