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Autor
Chocholata Michaela (Uniwersytet Ekonomiczny w Bratysławie, Słowacja)
Tytuł
Trading Volume and Volatility of Stock Returns : Evidence from Some European and Asian Stock Markets
Źródło
Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego, 2011, vol. 12(XII), nr 1, s. 27-36, tab., bibliogr. 19 poz.
Quantitative Methods in Economics
Słowa kluczowe
Wolumen obrotu, Zmienność, Model GARCH, Stopa zwrotu akcji
Trading volume, Variability, GARCH model, Stock rate of returns
Uwagi
summ.
Abstrakt
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)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Pełny tekst
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Bibliografia
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ISSN
2082-792X
Język
eng
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