Intra-group and inter-group trading differentiation analysis: A new approach for detecting the effect of trading volume on stock market fluctuations |
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| Authors: | Meysam Bolgorian |
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| Institution: | 1. School of Computer and Information Technology, Shanxi University, Taiyuan 030006, Shanxi, China;2. Key Laboratory of Computational Intelligence and Chinese Information Processing of Ministry of Education, Taiyuan 030006, Shanxi, China;1. College of Business Administration, AlBaha University, Saudi Arabia, and Manouba University, Tunisia;2. SHU-UTS SILC Business School, Shanghai University, Shanghai, 200444, China; and University of Technology Sydney, Sydney, Australia;3. Shanghai Key Laboratory of Financial Information Technology (Shanghai University of Finance and Economics), Shanghai, 200433, China |
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| Abstract: | Analyzing statistical properties of stock market data using statistical physics has received much attention from physicists and economists in recent years. Although some statistical characteristics of stock market data such as power-low tails of stock returns have become established fact, behavior of other related variables such as trading volume are less studied. In this paper, in order to examine the impact of trading volume on statistical properties of stock market returns, different trading behavior of different traders in Tehran Stock Exchange is analyzed. We define a new coefficient which measures the equilibrium between these different forces affecting the market at any given trading day. By adjusting market returns by this coefficient, we also assessed the impact of these forces on the statistical properties of stock market returns. |
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