The dynamic relation between stock returns, trading volume, and volatility

Financial Review

Volumn 36, Issue 3, 2001, Pages 153-174

  Chen, Gong meng ^a   Firth, Michael ^a   Rui, Oliver M ^a  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

EGARCH; Stock index returns; Trading volume; Volatility

Indexed keywords

EID: 0742274554     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.2001.tb00024.x     Document Type: Article

References (42)

1. Andersen, T. G., 1996. Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance 51, 169-204.
2. Berndt, E.R., B.H. Hall., R.E. Hall., and J.A. Hausman., 1974. Estimation and inference in nonlinear structural models, Annals of Economic and Social Measurement 4, 653-665.
3. Bessembinder, H., and R.J. Seguin., 1993. Price volatility, trading volume, and market depth: Evidence from futures markets. Journal of Financial and Quantitative Analysis 28, 21-39.
4. Black, F., 1976. Studies of stock price volatility changes, Proceedings of the American Statistical Association, Business and Economics Statistics Section, 177-181.
5. Blume, L., D. Easley., and M. O’Hara., 1994. Market statistics and technical analysis: The role of volume, Journal of Finance 49:1, 153-182.
6. Bollerslev, T., 1987. A conditionally heteroskedastic time series model for speculative prices and rates of return, Journal of Econometrics 31, 307-327.
7. Campbell, J. Y., S. J. Grossman., and J. Wang., 1993. Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905-939.
8. Chordia, T., and B. Swaminathan., 2000. Trading volume and cross-autocorrelations in stock returns, Journal of Finance 55, 913-935.
9. Clark, P.K., 1973. A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41, 135-55.
10. Copeland, T. E., 1976. A model of asset trading under the assumption of sequential information arrival, Journal of Finance 31, 1149-1168.
11. Crouch, R. L., 1970. The volume of transactions and price changes on the New York Stock Exchange, Financial Analysts Journal 26, 104-109.
12. Cumby, R., S. Figlewski., and J. Hasbrouck., 1993. Forecasting volatility and correlations with EGARCH models. Journal of Derivatives, Winter, 21-63.
13. Engle, R. F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.
14. Engle, R.F., and T. Bollerslev., 1986. Modeling the persistence of conditional variance. Econometric Reviews 5, 1-50.
15. Epps, T. W., and M. L. Epps., 1976. The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis, Econometrica 44, 305-21.
16. Foster, F. D., and S. Viswanathan., 1995. Can speculative trading explain the volume-volatility relation Journal of Business & Economic Statistics, 13, 379-396.
17. Gallant, A. R., P.E. Rossi., and G. Tauchen., 1992. Stock prices and volume. Review of Financial Studies 5, 199-242.
18. Granger, C.W.J., 1969. Investigating causal relations by econometric models and cross-spectral methods, Econometrica 37, 424-438.
19. Granger, C.W.J., and O. Morgenstern., 1963. Spectral analysis of New York stock market prices, Kyklos 16, 1-27.
20. Harris, L., 1986. Cross-security tests of the mixture of distributions hypothesis. Journal of Financial and Quantitative Analysis 21, 39-46.
21. Harris, M., and A. Raviv., 1993. Differences of opinion make a horse race. Review of Financial Studies 6, 473-506.
22. He, H., and J. Wang., 1995. Differential information and dynamic behavior of stock trading volume, Review of Financial Studies 8, 919-972.
23. Hiemstra, C., and J.D. Jones., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation, Journal of Finance, 49, 1639-1664.
24. Jain, P.C., and G.H. Joh., 1988. The dependence between hourly prices and trading volume. Journal of Financial and Quantitative Analysis 23, 269-283.
25. Jennings, R.H., L. Starks., and J. Fellingham., 1981. An equilibrium model of asset trading with sequential information arrival. Journal of Finance 36, 143-161.
26. Jennings, R.H., and C. Barry., 1983. Information dissemination and portfolio choice, Journal of Financial and Quantitative Analysis 18, 1-19.
27. Karpoff, J.M., 1986. A theory of trading volume, Journal of Finance 41, 1069-1088.
28. Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis 22, 109-126.
29. Lamoureux, C.G., and W.D. Lastrapes., 1990. Heteroskedasticity in stock return data: Volume versus GARCH effects, Journal of Finance 45, 221-229.
30. Lamoureux, C.G., and W.D. Lastrapes., 1994. Endogenous trading volume and momentum in stock-return volatility, Journal of Business and Economic Statistics 12, 253-260.
31. Morgan, I.G., 1976. Stock prices and heteroskedasticity, Journal of Business 49, 496-508.
32. Morse, D., 1980. Asymmetrical information in securities markets and trading volume, Journal of Financial and Quantitative Analysis 15, 1129-1148.
33. Najand, M., and K. Yung., 1991. A GARCH examination of the relationship between volume and price variability in futures markets, Journal of Futures Markets 11, 613-621.
34. Nelson, D. B., 1991. Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 323-370.
35. Osborne, M.F.M., 1959. Brownian motion in the stock market, Operations Research 7, 145-173.
36. Pagan, A.R., and G.W. Schwert., 1990. Alternative models for conditional stock volatility, Journal of Econometrics 45, 267-290.
37. Rogalski, R.J., 1978. The dependence of prices and volume, Review of Economics and Statistics 60, 268-274.
38. Smirlock, M., and L. Starks., 1985. A further examination of stock price changes and transaction volume, Journal of Financial Research 8, 217-225.
39. Tauchen, G. E., and M. Pitts., 1983. The price variability-volume relationship on speculative markets, Econometrica 51, 485-505.
40. Wang, J., 1994. A model of competitive stock trading volume, Journal of Political Economy 102, 127-168.
41. Westerfield, R., 1977. The distribution of common stock price changes: An application of transactions time and subordinated stochastic models, Journal of Financial and Quantitative Analysis 12, 743-765.
42. Wood, R.A., T.H. Mclnish., and J.K. Ord., 1985. An investigation of transactions data for NYSE stocks, Journal of Finance 60, 723-739.