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Heteroskedasticity in the returns of the main world stock exchange indices: volume versus GARCH effects

  • Arago, Vicent
  • Nieto, Luisa
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    File URL: http://www.sciencedirect.com/science/article/B6VGT-4DW3FC0-1/2/867c21ca04f9b4a663ba433e5508a7b8
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 15 (2005)
    Issue (Month): 3 (July)
    Pages: 271-284

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    Handle: RePEc:eee:intfin:v:15:y:2005:i:3:p:271-284
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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    1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
    3. Vanitha Ragunathan & Albert Peker, 1997. "Price variability, trading volume and market depth: evidence from the Australian futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 447-454.
    4. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
    5. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
    6. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
    7. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    8. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
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