The modified mixture of distributions model: A revisit

被引：6

作者：

Fong W.M. ^{[1
]}

Wong W.K. ^{[2
]}

机构：

[1] Department of Finance and Accounting, National University of Singapore, Singapore 117592, Kent Ridge

[2] Department of Economics, National University of Singapore, Singapore 117592, Kent Ridge

来源：

Annals of Finance | 2006年 / 2卷 / 2期

关键词：

Mixture of distributions; Trading volume; Volatility;

D O I：

10.1007/s10436-005-0027-6

中图分类号：

学科分类号：

摘要：

Andersen (J Financ 51, 169-204 (1996)) introduced a modification of the mixture of distributions model based on microstructure arguments. Based on a small sample of five stocks, he infers that this modified mixture of distributions (MMD) model adequately captures the joint behavior of trading volume and volatility. We re-examine this claim using a larger sample of twenty-two stocks and two sample periods. Our tests show that 59% of the sample rejects the MMD model in the period 1973-1991, the same period studied by Andersen. Results for the second period (1993-1999) are more supportive of the MMD, especially for number of trades, although nearly one-third of the sample still rejects the MMD. We conclude that further tests are needed before the general validity of the MMD can be established. © Springer-Verlag 2005.

引用

页码：167 / 178

页数：11

共 16 条

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