Intraday prices and trading volume relationship in Singapore.
Fong, Yuen Wai.
Lee, Danny Huan Ching.
Date of Issue2001
College of Business (Nanyang Business School)
This paper examines the intraday stock returns and trading relationship in one of the most open and dynamic Asian markets – Singapore. Average trading volume is found to be a function of the time of the day for all days of the week but not a function of the day of the week. Average returns is found to be neither a function of the day of the week nor time of the day. For the contemporaneous relation between trading volume and absolute value of return, we found that there exists a significant positive relationship.
Final Year Project (FYP)
Nanyang Technological University