The interaction of volatility, volume and skewness: empirical evidence from REITs

Akimov, A., Hutson, E. and Stevenson, S., (2013) The interaction of volatility, volume and skewness: empirical evidence from REITs. Working Papers in Real Estate & Planning. 06/13. Working Paper. University of Reading, Reading. pp30.

Abstract/Summary

This paper considers how trading volume impacts upon the first three moments of REIT returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of the Hong & Stein’s (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume. Furthermore, we also report findings that show the influence of the variability of volume with skewness.

Item Type	Report (Working Paper)
URI	https://reading-clone.eprints-hosting.org/id/eprint/32471
Item Type	Report
Divisions	Henley Business School > Real Estate and Planning
Publisher	University of Reading
Publisher Statement	The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.
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