Long Memory in Stock-Market Trading Volume
AbstractThis article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the long-memory properties of trading volume for the 30 stocks in the Dow Jones Industrial Average index are analyzed. Two empirical results are found. First, there is strong evidence that stock-market trading volume exhibits lone memory. Second, although it is found that volatility and volume exhibit the same decree of long memory for most of the stocks, there is no evidence that both processes share the same long-memory component.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 18 (2000)
Issue (Month): 4 (October)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Ignacio, Lobato N. & Velasco, Carlos, . "Long memory in stock-market trading volume," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4433, Universidad Carlos III de Madrid.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996.
"Modeling and pricing long memory in stock market volatility,"
Journal of Econometrics,
Elsevier, vol. 73(1), pages 151-184, July.
- Tom Doan, . "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
- Velasco, Carlos, .
"Non-stationary log-periodogram regression,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/4554, Universidad Carlos III de Madrid.
- Velasco, Carlos, . "Non-stationary log-periodogram regression," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4346, Universidad Carlos III de Madrid.
- Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
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