New evidence on the relation between return volatility and trading volume

Journal of Forecasting

Volumn 29, Issue 5, 2010, Pages 502-515

  Chiang, Thomas C ^a   Qiao, Zhuo ^b   Wong, Wing Keung ^c  

^a DREXEL UNIVERSITY   (United States)

^b UNIVERSITY OF MACAU   (Macao)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

High frequency data; Non linear granger causality; Return volatility; Trading Volume

Indexed keywords

STATISTICAL TESTS;

BI-DIRECTIONAL; DATA SAMPLE; EMPIRICAL LITERATURE; GRANGER CAUSALITY; HIGH FREQUENCY DATA; NON LINEAR; NON-LINEAR GRANGER CAUSALITY; REALIZED VOLATILITY; RETURN VOLATILITIES; TRADING VOLUMES;

COMMERCE;

EID: 77954919955     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1151     Document Type: Article

References (38)

1. Abhyankar A. 1998. Linear and nonlinear Granger causality: evidence from the U.K. stock index futures market. Journal of Futures Markets 18: 519-540.
2. Andersen TG. 1996. Return volatility and trading volume: an information flow interpretation of stochastic volatility. Journal of Finance 51: 169-204.
3. Andersen TG, Bollerslev T. 1998. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39: 885-905.
4. Andersen TG, Bollerslev T, Diebold FX, Ebens H. 2001. The distribution of realized stock return volatility. Journal of Financial Economics 61: 43-76.
5. Andersen TG, Bollerslev T, Diebold FX, Labys P. 2003. Modeling and forecasting realized volatility. Econometrica 71: 579-625.
6. Back K. 1991. Asset prices for general processes. Journal of Mathematical Economics 20: 317-395.
7. Baek E, Brock W. 1992. A general test for Granger causality: bivariate model. Technical report, Iowa State University and University of Wisconsin, Madison, WI.
8. Barndorff-Nielsen OE, Shephard N. 2001. Non-Gaussian Ornstein-Uhlenbeck- based models and some of their uses in financial economics. Journal of the Royal Statistical Society Series B 63: 167-241.
9. Barndorff-Nielsen OE, Shephard N. 2002. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society Series B Part 2 64: 253-280.
10. Brock WA, Dechert WD, Scheinkman JA. 1987. A test for independence based on the correlation dimension. Working paper, Department of Economics, University of Wisconsin at Madison, WI.
11. Brock WA, Hsieh DA, LeBaron B. 1991. Nonlinear Dynamics, Chaos and Instability. MIT Press: Cambridge, MA.
12. Brock WA, Dechert WD, Scheinkman JA, LeBaron B. 1996. A test for independence based on the correlation dimension. Econometric Reviews 15: 197-235.
13. Brooks C. 1998. Predicting stock index volatility: can market volume help? Journal of Forecasting 17: 59-80.
14. Chen AS, Lin JW. 2004. Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract. Applied Economics 36: 1157-1167.
15. Chen G, Firth M, Rui OM. 2001. The dynamic relations between stock returns, trading volume and volatility. Financial Review 38: 153-174.
16. Clark PK. 1973. A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41: 135-155.
17. Copeland TE. 1976. A model of asset trading under the assumption of sequential information arrival. Journal of Finance 31: 1149-1168.
18. Darrat A, Rahman F, Zhong M. 2003. Intraday trading volume and return volatility of the DJIA stocks: a note. Journal of Banking and Finance 27: 2035-2043.
19. Epps TW, Epps ML. 1975. The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distributions hypothesis. Econometrica 44: 305-321.
20. French KR, Schwert GW, Stambaugh RF. 1987. Expected stock returns and volatility. Journal of Financial Economics 19: 3-29.
21. Gallant AR, Hsieh DA, Tauchen G. 1992. Stock prices and volume. Review of Financial Studies 5: 199-242.
22. Glosten LR, Jagannathan R, Runkle DE. 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48: 1779-1801.
23. Harris L. 1987. Transaction data test of the mixture of distributions hypothesis. Journal of Financial and Quantitative Analysis 22: 127-141.
24. Harvey D, Leybourne S, Newbold P. 1997. Testing the equality of prediction mean squared errors. International Journal of Forecasting 13: 281-291.
25. Hiemstra C, Jones JD. 1994. Testing for linear and nonlinear Granger causality in the stock price volume relation. Journal of Finance 49: 1639-1664.
26. Huh H. 2002. GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries. Economics Letters 77: 93-99.
27. Hull J, White A. 1987. The pricing of options on assets with stochastic volatilities. Journal of Finance 42: 281-300.
28. Jennings R, Starks L, Fellingham J. 1981. An equilibrium model of asset trading with sequential information arrival. Journal of Finance 36: 143-161.
29. Karatzas L, Shreve SE. 1991. Brownian Motion and Stochastic Calculus (2nd ed). Springer: New York.
30. Lee T, White H, Granger C. 1993. Testing for neglected nonlinearity in time series models: a comparison of the neural network method and alternative tests. Journal of Econometrics 56: 269-290.
31. Ma Y, Kanas A. 2000. Testing for a nonlinear relationship among fundamentals and the exchange rates in the ERM. Journal of International Money and Finance 19: 135-152.
32. Merton RC. 1980. On estimating the expected return on the market. Journal of Financial Economics 8: 323-361.
33. Nelson DB. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59: 347-370.
34. Okunev J, Wilson P, Zurbruegg R. 2000. The causal relationship between real estate and stock markets. Journal of Real Estate Finance and Economics 21: 251-261.
35. Qiao Z, Li Y, Wong WK. 2008. Policy change and lead-lag relations among China's segmented stock markets. Journal of Multinational Financial Management 18: 276-289.
36. Qiao Z, McAleer M, Wong WK. 2009. Linear and nonlinear causality between changes in consumption and consumer attitudes. Economics Letters 102: 161-164.
37. Schwert GW. 1989. Why does stock market volatility change over time? Journal of Finance 44: 1115-1153.
38. Smirlock M, Starks L. 1985. A further examination of stock price changes and transaction volume. Journal of Financial Research 8: 217-225.