Trading Volume and Volatility of Stock Returns : Evidence from Some European and Asian Stock Markets

• Autorzy: Michaela Chocholata
• Języki publikacji: EN

Abstrakty

EN

This paper analyses the relationship between the daily volatility of stock returns and the trading volume using the TGARCH models for selected European and Asian stock markets. The leverage effect has been proved in all analysed cases. The logarithm of the trading volume was included into the conditional volatility equation as a proxy for information arrival time. Although in case of all analysed Asian stock returns the inclusion of the trading volume led to the moderate decline of the conditional volatility persistence, the results in case of European stock returns were not so unambiguous. (original abstract)

Słowa kluczowe

EN

Variability; GARCH model; Stock rate of returns; Trading volume

PL

Zmienność; Model GARCH; Stopa zwrotu akcji; Wolumen obrotu

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2011
• Tom: 12(XII)
• Numer: nr 1
• Strony: 27--36

Twórcy

autor

Michaela Chocholata

• Uniwersytet Ekonomiczny w Bratysławie, Słowacja

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