The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility

Global Finance Journal

Volumn 23, Issue 1, 2012, Pages 1-15

  Chuang, Wen I ^a   Liu, Hsiang Hsi ^b   Susmel, Rauli ^c  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

^b NATIONAL TAIPEI UNIVERSITY   (Taiwan)

^c UNIVERSITY OF HOUSTON   (United States)

Author keywords

Contemporaneous and causal relations; GJR GARCH; Return volatility; Stock returns; Trading volume

Indexed keywords

EID: 84862824255     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.gfj.2012.01.001     Document Type: Article

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