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Volumen de negociación y cambios en los precios: causalidad y distribuciones mixtas1

Author

Listed:
  • ACOSTA GONZÁLEZ, E.

    (Departamento de Métodos Cuantitativos. Universidad de Las Palmas de Gran Canaria)

  • PÉREZ RODRÍGUEZ, Jorge V.

    (Departamento de Métodos Cuantitativos. Universidad de Las Palmas de Gran Canaria)

Abstract

En este artículo estudiamos la relación entre la varianza condicionada de los cambios en los precios y el volumen de negociación de cinco activos con una alta ponderación en el Indice de la Bolsa de Madrid. El periodo muestral abarca desde Abril de 1991 hasta Diciembre de 1993, con un total de 677 días de negociación. Analizamos el grado de causalidad entre las variables a través del contraste de Granger y, siguiendo algunos estudios como, por ejemplo, Clark (1973), Epps y Epps (1976), y Harris (1987), contrastamos si el volumen de negociación está relacionado positivamente con los cambios en los precios. Este hecho se manifiesta bajo la hipótesis de que existe una relación, también positiva, entre dicho volumen y las transacciones diarias, tal y como sucede en el modelo de Clark, en el que la varianza de los cambios de precios diarios es una variable aleatoria con una media proporcional al número de transacciones en el día. In this paper we study the time variation relationship in conditional variance between daily price changes and trading volume for the five assets with high weight in the index of Madrid Stock Exchange (MSE) for a sample period from April 1991 to December 1993 (677 trading days). We test the causality between these variables from Granger’s idea of conditional causality and under the hypothesis of a positive association between trading volume and daily transactions we test if the trading volume is related positively with the price change, as several studies have found [i.e., Clark (1973), Epps and Epps (1976) and Harris (1987)]. Particularly, in Clark’s model the variance of the daily price change is a random variable with a proportional mean to the number of the daily transactions.

Suggested Citation

  • ACOSTA GONZÁLEZ, E. & PÉREZ RODRÍGUEZ, Jorge V., 1999. "Volumen de negociación y cambios en los precios: causalidad y distribuciones mixtas1," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 11, pages 5-21, Febrero.
  • Handle: RePEc:lrk:eeaart:11_1_4
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    Keywords

    Causality; mixture distribution; multivariate GARCH effects;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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