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Stock returns, volume and stock price volatility : An empirical firm-level analysis
http://hdl.handle.net/10112/00018929
http://hdl.handle.net/10112/00018929b5a92678-19b9-42b3-84ab-759b3fa0e1d6
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
KU-1100-20021225-10.pdf (1.3 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2020-02-04 | |||||
| タイトル | ||||||
| タイトル | Stock returns, volume and stock price volatility : An empirical firm-level analysis | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
Jurgen, Schraepen
× Jurgen, Schraepen |
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| 概要 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | This paper examines the relation between stock returns and stock market volatility in an autoregressive conditional heteroskedasticity model framework. Using a GARCH-M model, we examine the relation between stock returns, volume and stock price volatility. Using daily returns from January 1990 until December 1999 for a sample of 20 firms listed on the Tokyo Stock Exchange, first of all, we examine if there exists a risk premium for stock return volatility. Second, using daily volume and a new measure of daily stock price volatility as a proxy for the amount of daily arrival of information, we try to find out how contemporaneous and lagged trading volume and volatility explain conditional volatility. As a result we find that (1) stock returns are positively related to the conditional variance but the correlation is not always significant. Only when introducing contemporaneous volume in the variance equation, the GARCH parameter in the mean equation becomes significant; (2) contemporaneous trading volume is positively correlated to the conditional variance and highly statistically significant, while lagged trading volume has a mixed impact on the conditional variance; (3) we find evidence that our new measure of stock price volatility using the daily high, low and closing price can catch information in return volatility. Both contemporaneous and lagged stock price volatility are positively related with the conditional variance and are highly significant. Volatility models for daily returns are therefore improved by including information such as the daily high and low price. Together with volume our measure of stock price volatility can be very useful in explaining volatility clustering in daily returns; (4) introducing stock price volatility and volume in the GARCH variance equation reduces the persistence and significance of variance considerably but does not turn them insignificant. After controlling for the rate of information flow using volume and volatility, lagged squared residuals still contribute additional information about the variance of the stock return process. This is in contrast with the research of Lamoureux and Lastrapes (1990) who found empirical evidence that the ARCH effects vanish when volume is included as an explanatory variable in the conditional variance equation. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 松谷勉教授古稀記念特集 | |||||
| 書誌情報 |
關西大學商學論集 巻 47, 号 4-5, p. 703-727, 発行日 2002-12-25 |
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| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 04513401 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00047023 | |||||
| 著者版フラグ | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
| 出版者 | ||||||
| 出版者 | 關西大學商學會 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | 関西大学 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Kansai University | |||||
