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Asymmetric volatility and trading volume: The G5 evidence

  • Sabbaghi, Omid
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    In light of the global financial crisis of 2008, this study provides an empirical investigation of the asymmetric volatility–trading volume relationship. Using national equity indices, this study conducts an EGARCH analysis for the Group of Five, or G5, countries. The empirical evidence suggests that trading volume is an important variable in explaining conditional volatility. Consistent with recent research, it is found that the presence of trading volume does not lead volatility persistence levels to decrease. In addition, our results suggest that trading volume captures a significant fraction of asymmetric volatility effects during the recent financial crisis.

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    File URL: http://www.sciencedirect.com/science/article/pii/S104402831100024X
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 22 (2011)
    Issue (Month): 2 ()
    Pages: 169-181

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    Handle: RePEc:eee:glofin:v:22:y:2011:i:2:p:169-181
    DOI: 10.1016/j.gfj.2011.10.006
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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