Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies
This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, the authors find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate 'news'-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.
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Volume (Year): 17 (1999)
Issue (Month): 1 (January)
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