The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds

Abstract

The aim of this paper is to investigate the relationship between trade volume, number of transaction and daily volatility for Romanian Financial Investments Funds. There is a large debate on this topic. The empirical results of previous literature showed that there is a strong relationship between these varables. Using OLS regressions we found that trade volume has a larger impact on daily volatility compared to the influence of number of transactions which could be considered as a proxy for liquidity.

Keywords

• volatility
• trade volume
• number of transactions
• liquidity
• capital market.