Modelling the Effects of Trading Volume on Stock Return Volatility Using Conditional Heteroskedastic Models
نویسندگان
چکیده
منابع مشابه
A Bayesian analysis of stock return volatility and trading volume
The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted as the volatility. Using GMM estimation Andersen finds that the persistence in this latent process fa...
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Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...
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Assuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the Mixture of Distribution Hypothesis (MDH) represents an intuitive and appealing explanation for the empirically observed correlation between volume and volatility of speculative assets. This paper investiga...
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ژورنال
عنوان ژورنال: Journal of Finance and Economics
سال: 2018
ISSN: 2328-7284
DOI: 10.12691/jfe-6-5-5