Trading volume and stock market volatility: evidence from emerging stock markets
Yükleniyor...
Tarih
2009-01-15
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
LLC CPC Business Perspectives
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Based on the 'mixture of distribution' hypothesis, this paper investigates the relationship between trading volume and conditional volatility of returns by using 12 emerging stock market indices over the period between January 2000 and August 2006. The results show that when total trading volume is included in the conditional volatility equation as a proxy for information flow, a moderate level of decline in volatility persistence was observed only for two stock markets. In four stock markets the decline in conditional volatility persistence is very small. On the other hand, for the remaining markets, total trading volume is a poor proxy for information flow. The findings are consistent with the findings of prior research, which suggest that volume may be a good proxy for stock-level analysis, but not for market-level analysis. Furthermore, following Wagner and Marsh (2005) and Arago and Nieto (2005) the relationship between unexpected trading volume (surprise trading volume as an alternative proxy for information flow) and conditional volatility is analyzed. The findings illustrate that for most of the markets, the relationship between surprise volume and conditional volatility is statistically significant.
Açıklama
Anahtar Kelimeler
Emerging stock markets, GARCH models, Information flow, Volatility persistence
Kaynak
WoS Q Değeri
Scopus Q Değeri
Cilt
5
Sayı
4
Künye
Gürsoy, G., Yüksel, A. & Yüksel, A. (2009). Trading volume and stock market volatility: evidence from emerging stock markets. Investment Management and Financial Innovations, 5(4), 200-210.
