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Title: A Follow-Up Study on the Volume-Volatility Relation in the U.S. Municipal Bond Market
Authors: Liu, Jieming
Advisors: Lorig, Matthew
Department: Operations Research and Financial Engineering
Class Year: 2014
Abstract: In this paper I perform a follow up study to Downing and Zhang’s analysis of the municipal bond market in 2004. In this analysis, I employed more recent trade data from the year 2013 to see if the volume-volatility relationship has changed in the past decade due to changes in the municipal bond market. I found that there is still a negative volume-volatility relationship caused mostly by trade between large institutional investors. However, there are some key differences in trading patterns for certain subsets of the data, which is discussed in further detail in my analysis.
Extent: 63
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2017

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