Export file:


  • RIS(for EndNote,Reference Manager,ProCite)
  • BibTex
  • Text


  • Citation Only
  • Citation and Abstract

Market Value Volatility and the Volume of Traded Stock for U.S. Industrial Corporations

Economics Department, University of Utah, 332 South 1400 East Room 222 Salt Lake City, UT 84112, USA

Special Issues: Volatility of Prices of Financial Assets

A novel two-phase econometric approach was used to first obtain the variance (volatility) of the firm’s market value adjusted for its common stock repurchases and other determinants (the traditional approach). Then, the variance of some 1,077 firms was used to predict the volume of the firm’s common stock traded over a given period of time (the novel approach). The hypothesis was that fast traders in the stock market can use the variance of the firm’s market value as a source of risk information, when deciding on what stock to purchase. An unbalanced panel of firms covering the quarterly time periods from 1999 (4) to 2017 (1) was analyzed by the longitudinal method to obtain the variances. Then, linear regression was used to relate the volume of stock traded to the variances. The novel method goes beyond the traditional volatility approach. The statistical results were acceptable for both phases, but with some concern over the use of the variance as an independent determinant in the second phase analysis.
  Article Metrics

Keywords firm market value; variance (volatility); panel data; stock repurchases; fast traders; hypothesis tested; volume of common stock traded

Citation: James P. Gander. Market Value Volatility and the Volume of Traded Stock for U.S. Industrial Corporations. Quantitative Finance and Economics, 2017, 1(4): 403-410. doi: 10.3934/QFE.2017.4.403


  • 1.Baker HK, Veit ET, Powell GE (2011) Stock repurchases and false signals. J App Buss Res 19: 33–46.
  • 2.Baldauf B, Santoni GJ (1991) Stock price volatility: some evidence from an ARCH model. J Fut Mark 11: 191–200.
  • 3.Dann, LY (1981) Common stock repurchases: an analysis of returns to bondholders and stockholders. J Fin Econ 9: 113–138.    
  • 4.Engle RF, Patton AJ (2001) What good is a volatility model? Quant Fin 1: 237–245.
  • 5.Fama EF, French KR (2001) Disappearing dividends: changing firm characteristics or lower propensity to pay? J Fin Econ 60: 3–43.
  • 6.Haw In-Mu, Ho SSM, Hu B, et al. (2011) The contribution of stock repurchases to the value of the firm and cash holdings around the world. J Corp Fin 17: 152–166.
  • 7.Lewis M (2014) Flash boys: a wall street revolt. New York: Norton.
  • 8.Sabri NR (2003) Using treasury "repurchase" shares to stabilize stock markets. Intern J Buss 8: 425–450.
  • 9.Tsetsekos GP, Kaufman DJ, Gitman LJ (1991) A survey of stock repurchase 10.motivations and practices of major u.s. corporations. J App Buss Res 7: 15–21.
  • 10.Woodruff CG, Torabzadeh KM, Ross JB (1995) Ownership structure returns to defensive stock repurchases. J Econ Fin 19: 171–186.    


Reader Comments

your name: *   your email: *  

Copyright Info: 2017, James P. Gander, licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)

Download full text in PDF

Export Citation

Copyright © AIMS Press All Rights Reserved