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Trading volume and stock market volatility: The Polish case

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  • Bohl, Martin T.
  • Henke, Harald
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-48WPVVK-2/2/c8b65cb70964896b29b6e215447f5a63
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 12 (2003)
    Issue (Month): 5 ()
    Pages: 513-525

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    Handle: RePEc:eee:finana:v:12:y:2003:i:5:p:513-525

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    Web page: http://www.elsevier.com/locate/inca/620166

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    References

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    1. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
    2. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
    3. Rockinger, Michael & Urga, Giovanni, 2000. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," CEPR Discussion Papers 2346, C.E.P.R. Discussion Papers.
    4. Maria Kasch-Haroutounian & Simon Price, 2001. "Volatility in the transition markets of Central Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 93-105.
    5. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    7. Barry Gordon & Libby Rittenberg, 1995. "The Warsaw Stock Exchange: A Test of Market Efficiency," Comparative Economic Studies, Palgrave Macmillan, vol. 37(2), pages 1-27, July.
    8. William A. Brock & Blake D. LeBaron, 1995. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," NBER Working Papers 4988, National Bureau of Economic Research, Inc.
    9. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
    10. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    11. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
    12. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
    13. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
    14. M. F. Omran & E. McKenzie, 2000. "Heteroscedasticity in stock returns data revisited: volume versus GARCH effects," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 553-560.
    15. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-21, March.
    16. Shields, Kalvinder K, 1997. " Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-25.
    17. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March.
    18. Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
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    Cited by:
    1. Louhichi, Waël, 2011. "What drives the volume-volatility relationship on Euronext Paris?," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 200-206, August.
    2. Brian M Lucey and Alexander Eastman, 2008. "Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp260, IIIS.
    3. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
    4. Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
    5. Madhuri Malhotra & M Thenmozhi & Arun Kumar Gopalaswamy, 2012. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers id:4728, eSocialSciences.
    6. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock market," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 139-159, April.
    7. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 422-444.
    8. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, . "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
    9. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    10. Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
    11. Brajesh Kumar & Priyanka Singh & Ajay Pandey, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
    12. Madhuri Malhotra & M. Thenmozhi & Arun Kumar Gopalaswamy, 2011. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers 2011-061, Madras School of Economics,Chennai,India.

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