The relationship between trading volumes, number of transactions, and stock volatility in GARCH models

被引：1

作者：

Takaishi, Tetsuya ^{[1
]}

Chen, Ting Ting ^{[2
]}

机构：

[1] Hiroshima Univ Econ, Hiroshima 7310192, Japan

[2] Hiroshima Univ, Fac Integrated Arts & Sci, Hiroshima 7398521, Japan

来源：

5TH INTERNATIONAL CONFERENCE ON MATHEMATICAL MODELING IN PHYSICAL SCIENCES (IC-MSQUARE 2016) | 2016年 / 738卷

关键词：

VARIANCE; RETURNS;

D O I：

10.1088/1742-6596/738/1/012097

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatility. The impact of trading volumes or number of transactions on volatility is measured using the generalized autoregressive conditional heteroscedasticity (GARCH) model. We find that the GARCH effects, that is, persistence of volatility, is not always removed by adding trading volumes or number of transactions, indicating that trading volumes and number of transactions do not adequately represent the rate of information arrivals.

引用

页数：4

共 28 条

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