Can Speculative Trading Explain the Volume-Volatility Relation?

Frederick Foster and S Viswanathan ()

Journal of Business & Economic Statistics, 1995, vol. 13, issue 4, 379-96

Abstract: The authors derive a speculative trading model with endogenous informed trading that yields a conditionally heteroskedastic time series for trading volume and the squared price changes. They use half-hourly price change and volume data for IBM during 1988 to test the model and estimate the structural parameters using the simulated method of moments estimation procedure. While the model seems to do a reasonable job fitting the unconditional moments of the volume and the squared priced change processes, it fares less well in fitting the relation between current trading volume and lags of trading volume; and squared volume's (and its lag) relation to squared price changes.

Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (79)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:13:y:1995:i:4:p:379-96

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().