Advanced Search
MyIDEAS: Login to save this article or follow this journal

Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?

Contents:

Author Info

  • Watanabe, Toshiaki
Registered author(s):

    Abstract

    Bivariate mixture models attribute the well-known positive correlation between return volatility and trading volume in financial markets to stochastic changes in a single latent variable representing the number of information arrivals. In this article, dynamic bivariate mixture models that allow for autocorrelation in the latent variable are analyzed by a Bayesian method via Markov-chain Monte Carlo techniques. The results, based on daily data from the Nikkei 225 stock-index futures, reveal that the Tauchen and Pitts model, in which returns and volume follow a bivariate normal distribution conditional on the latent variable, cannot account for the persistence in squared returns. whereas the Andersen model, in which the conditional distribution of volume is Poisson, cannot account for the persistence in volume. It is also found that the Tauchen and Pitts model yields too narrow Bayesian confidence intervals of the out-of-sample squared returns.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 18 (2000)
    Issue (Month): 2 (April)
    Pages: 199-210

    as in new window
    Handle: RePEc:bes:jnlbes:v:18:y:2000:i:2:p:199-210

    Contact details of provider:
    Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main

    Order Information:
    Web: http://www.amstat.org/publications/index.html

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Thierry Ané & Loredana Ureche-Rangau, 2004. "Does trading volume really explain stock returns volatility?," Working Papers 2004-FIN-02, IESEG School of Management.
    2. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research.
    3. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science.
    4. Junji Shimada & Yoshihiko Tsukuda, 2004. "Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space," Econometric Society 2004 Far Eastern Meetings 611, Econometric Society.
    5. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:18:y:2000:i:2:p:199-210. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.