Factors Effecting Trading Volume: A Test of Mixed Distribution Hypothesis
Izz eddien Ananzeh ()
International Journal of Financial Research, 2015, vol. 6, issue 4, 207-216
This paper investigates the empirical relationship between trading volume and conditional volatility using data from Amman Stock Exchange (ASE) within the framework of Mixed Distribution Hypothesis (MDH). Our sample covered 27 securities, which is most active stocks traded for the period span from 2002 to 2012. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) k Exchange model employed in order to test the persistence in the volatility of stock returns. Our results confirm positive and strong relationship between trading volume for individual stocks and conditional volatility of returns. Moreover, the degree of volatility persistence reduced through the process of adding the contemporaneous volume into the conditional variance equation of GARCH model, and this is according to the predictions of the Mixture of Distributions Hypothesis (MDH).
Keywords: conditional volatility; trading volume; volatility persistence; mixture of distribution hypothesis; Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:6:y:2015:i:4:p:207-216
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