Trading volume and volatility of stock returns: Evidence from some European and Asian stock markets

• Authors: Michaela Chocholatá
• Languages of publication: EN

Abstracts

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.

Keywords

EN

volatility; TGARCH model; trading volume; stock returns

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2011
• Volume: 12
• Issue: 1
• Pages: 27-36

Dates

published

2011

Contributors

author

Michaela Chocholatá

• Department of Operations Research and Econometrics ,University of Economics in Bratislava

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