The assistant professor of finance co-authored an article on stock volatility and trading.
Margarita Kaprielyan, assistant professor of finance in the Martha and Spencer Love School of Business, co-authored “Stock volatility and trading,” which was published in The North American Journal of Economics and Finance.
In the article, Kaprielyan and co-author Anna Agapova, Florida Atlantic University, document that market and stock volatility influence stock trading.
The authors explore rational (tax-induced trading hypothesis) and behavioral (disposition effect) models as motivation for trading in response to market and stock volatility. They find that in response to increase in market volatility, abnormal trading of losing stock positions increases and winning stock position decreases, which is consistent with tax-loss harvesting hypothesis.
They also document that individual stock volatility is associated with abnormal trading of the losing positions – the finding consistent with the rational model of tax-loss harvesting. However, stock volatility is also related to the abnormal trading of the winning positions, which is consistent with the behavioral model – the disposition effect.
The North-American Journal of Economics and Finance publishes high-quality, original manuscripts in financial economics.
Kaprielyan joined Elon in 2017. Her research interests include mutual funds, corporate finance, corporate diversification, mergers and acquisitions, divestitures, and dividend policy.