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Asymmetric volatility and trading volume: The G5 evidence

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  • Sabbaghi, Omid

Abstract

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.

Suggested Citation

  • Sabbaghi, Omid, 2011. "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, vol. 22(2), pages 169-181.
  • Handle: RePEc:eee:glofin:v:22:y:2011:i:2:p:169-181
    DOI: 10.1016/j.gfj.2011.10.006
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    References listed on IDEAS

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    Cited by:

    1. repec:arp:ijefrr:2017:p:157--172 is not listed on IDEAS
    2. Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018. "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(1), pages 99-114, January-M.

    More about this item

    Keywords

    Asymmetric volatility; Trading volume; EGARCH; G5; Globalization;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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