EconPapers    
Economics at your fingertips  
 

Stochastic volatility, liquidity and intraday information flow

Jinliang Li and Chunchi Wu

Applied Economics Letters, 2011, vol. 18, issue 16, 1511-1515

Abstract: This article examines the relationship among intradaily information flows, volatility and volume based on the Mixture of Distribution Hypothesis (MDH). We generalize the MDH model to accommodate both informed and uninformed trading effects on return volatility. Using a Fourier filtering technique, we uncover the salient long-run dependence of information flow from high-frequency data with a relative short time span. The positive relationship between volatility and volume is primarily driven by the informed component of trading. We find a negative correlation between uninformed volume and volatility. Uninformed trading seems to add depth and liquidity to the market and therefore reduces volatility.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:18:y:2011:i:16:p:1511-1515

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2010.543077

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-22
Handle: RePEc:taf:apeclt:v:18:y:2011:i:16:p:1511-1515