Abstract
The mixture of distributions hypothesis (MDH) suggests that trading volume of shares provides information to share prices and returns. This study examines this, for the first time, in the context of the Irish stock exchange. The evidence is mixed, and only weakly in favour of the MDH. Volume appears not to be important in explaining the volatility of the Irish market.
Acknowledgements
The author wishes to thank participants at the Trinity Finance Workshop, and to staff and students at workshops in Aston Business School and the Robert Gordon School of Business, Aberdeen. In particular thanks go to Pat Fraser, Angela Black, Patricia Chelley-Steeley, Jim Steeley and Roger Buckland.
Notes
For early history see Thomas (Citation1986), and for more recent challenges see Bacon (Citation1999).
The level of published research on the Irish market in general is very limited, with no studies on the microstructure and no studies on the role of different agents, individuals or institutions.