Modelling Price Movement in Trading Volume-Volatility Relations

被引：0
|
作者：
Tan, Pei Pei [1 ]
Galagedera, Don U. A. [2 ]
Ting, Sze Shi [2 ]
机构：
[1] Univ Malaya, Fac Econ & Adm, Dept Appl Stat, Kuala Lumpur 50603, Malaysia
[2] Monash Univ, Dept Econometr & Business Stat, Caulfield, Vic 3145, Australia
来源：
MALAYSIAN JOURNAL OF ECONOMIC STUDIES | 2015年 / 52卷 / 02期
关键词：
Conditional volatility; GARCH-type models; price movement; trading volume; volatility persistence;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study investigated the association between volatility of stock returns and price movement-induced trading volume. In the trading volume and volatility relation, we modeled price movement using indicator variables and coupled them with trading volume. In a sample of Australian stocks, we found that upward price movement-induced trading volume was likely to affect conditional volatility more than downward price movement-induced trading volume. Evidence of this asymmetric effect was stronger in the case of price movement over the trading period than in price movement over the non-trading period. This association was observed even after controlling for asymmetry of news in the previous period.
引用
收藏
页码：135 / 156
页数：22
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