ARCH effects, trading volume and the information flow interpretation: empirical evidence from the Chinese stock markets
This study revisits the relation between ARCH effects and trading volume. We extend the specification of the VA-GARCH (1, 1) model by using various volume variants and constructing contrast equity groups. We verify that the information flow assumed to be contained in the four trading volume variants has a starkly different explanatory power compared with the ARCH effects. Successive improvement of the model's empirical fit and the reduction of the fat-tailedness in the model residuals in the sequence of volume adjustment imply an increase in the strength of explaining the static aspects of volatility dynamics by the further adjusted volume variants.
Volume (Year): 10 (2012)
Issue (Month): 2 (January)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RCEA20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RCEA20|
When requesting a correction, please mention this item's handle: RePEc:taf:jocebs:v:10:y:2012:i:2:p:169-191. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.