More on the volatility-trading volume relationship in emerging markets: The Chinese stock market

被引：11

作者：

Ureche-Rangau, Loredana ^{[1
,2
]}

de Rorthays, Quiterie ^{[2
]}

机构：

[1] Univ Picardie, Amiens 1, France

[2] IESEG Sch Management, Lille, France

来源：

JOURNAL OF APPLIED STATISTICS | 2009年 / 36卷 / 07期

关键词：

volatility persistence; long-memory; trading volume; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; SEQUENTIAL INFORMATION ARRIVAL; LONG-MEMORY; DISTRIBUTIONS HYPOTHESIS; RETURN VOLATILITY; SPECULATIVE PRICES; TIME-SERIES; MIXTURE; MODEL; FLOW;

D O I：

10.1080/02664760802509101

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper empirically investigates the characteristics in terms of volatility and trading volume relationships of the Chinese stock markets, and specifically of the stocks comprising the SSE180 index. Our results show that, contrary to previous evidence, both volatility and trading volume appear to be multi-fractal and highly intermittent, suggesting a common long-run behaviour in addition to the common short-term behaviour underlined by former studies. Moreover, the trading volume seems to have no explanatory power for volatility persistence when introduced in the conditional variance equation. Finally, the sign of the trading volume coefficients is mainly negative, hence showing a negative correlation between the two variables.

引用

页码：779 / 799

页数：21

共 50 条

[1] Trading Volume and Market Volatility: Developed versus Emerging Stock Markets
Girard, Eric
Biswas, Rita
[J]. FINANCIAL REVIEW, 2007, 42 (03) : 429 - 459
[2] The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective
Wang, Tianyi
Huang, Zhuo
[J]. ANNALS OF ECONOMICS AND FINANCE, 2012, 13 (01): : 211 - 236
[3] Causal Relationship among Trading Volume, Returns and Stock Volatility: Evidence from an Emerging Market
Tahir, Safdar Husain
Ali, Fahad
Ghaffar, Nouman
Sabir, Hazoor M.
[J]. VISION 2020: INNOVATION MANAGEMENT, DEVELOPMENT SUSTAINABILITY, AND COMPETITIVE ECONOMIC GROWTH, 2016, VOLS I - VII, 2016, : 344 - 358
[4] Stock Return Volatility and Trading Volume: Evidence from the Chinese Stock Market
Wang, Ping
Wang, Peijie
Liu, Aying
[J]. JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES, 2005, 3 (01) : 39 - 54
[5] Price Volatility, Trading Volume, and Market Depth: Evidence from Chinese Stock Index Futures Markets
Liu Lan
Ma Chaoqun
Chen Jing
[J]. STRATEGY IN EMERGING MARKETS: MANAGEMENT, FINANCE AND SUSTAINABLE DEVELOPMENT, 2014, : 541 - 547
[6] Manipulation, stock price volatility and trading volume in Chinese stock markets: An empirical evidence
Xiao, Tiaojun
Wang, Xiaoli
[J]. INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION, VOLS 1 AND 2, 2007, : 572 - 579
[7] Stock returns, trading volume, and volatility: The case of African stock markets
Ngene, Geoffrey M.
Mungai, Ann Nduati
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2022, 82
[8] The empirical relationship between stock returns volatility and trading volume: evidence on the Tunis stock market
Boubaker, Adel
Makram, Beljid
[J]. INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 2011, 6 (05) : 374 - 381
[9] REGULATION, TRADING VOLUME AND STOCK-MARKET VOLATILITY
MULHERIN, JH
[J]. REVUE ECONOMIQUE, 1990, 41 (05): : 923 - 938
[10] Stock returns and trading volume in Chinese stock market
Wang, XL
Xiao, TJ
Zhu, L
[J]. Proceedings of the 2005 International Conference on Management Science & Engineering (12th), Vols 1- 3, 2005, : 1958 - 1963

← 1 2 3 4 5 →