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Trading volume and realized higher-order moments in the Australian stock market

Ahadzie, RM ORCID: 0000-0002-9191-9914 and Jeyasreedharan, N ORCID: 0000-0003-1489-989X 2020 , 'Trading volume and realized higher-order moments in the Australian stock market' , Journal of Behavioral and Experimental Finance , pp. 1-23 , doi:

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The volume-realized volatility relationship has been extensively documented in the extant financialliterature. However, minimal attention has been accorded to volume-realized skewness and volumerealized kurtosis relationships. Our insight in this paper is that these additional higher-order realizedmoments hold volume-dependent relationships that have been neglected. We sample 142 Australianstocks from 2003 to 2017 downloaded at 15-minute sampling-intervals from the TRTH/SIRCA databaseand compute their weekly and monthly realized high-order moments. We find that the volume proxyinfluences the signage of the ensuring volume-higher-order realized moment regression coefficients.We then attempt to relate our empirical findings to the three common volume-related hypotheses citedin the extant volume literature and conclude that the DOH (Difference of Opinion) hypothesis implicitlyencompasses or nests both the MDH (Mixture of Distributions) and SIAH (Sequential InformationArrival) hypotheses. These two subtle but significant findings have yet to be reported in the extantvolume or trading-related studies.

Item Type: Article
Authors/Creators:Ahadzie, RM and Jeyasreedharan, N
Keywords: realized higher-order moments, trading volume, number of trades, information flow
Journal or Publication Title: Journal of Behavioral and Experimental Finance
Publisher: Elsevier BV
ISSN: 2214-6350
DOI / ID Number:
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Copyright 2020 Elsevier Ltd.

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