A Dynamic Structural Model for Stock Return Volatility and Trading Volume
William Brock and
Blake Lebaron ()
The Review of Economics and Statistics, 1996, vol. 78, issue 1, 94-110
Abstract:
This paper presents an adaptive beliefs model which is able to roughly reproduce the following features seen in the data: the autocorrelation functions of the volatility of returns and trading volume are positive with slowly decaying tails; the cross-correlation function of volatility is approximately zero for squared returns with past and future volumes and is positive for squared returns with current volumes; and abrupt changes in prices and returns occur which are hard to attach to 'news.' The last feature is obtained because the law of large numbers can fail in the large economy limit. Copyright 1996 by MIT Press.
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (144)
Downloads: (external link)
http://links.jstor.org/sici?sici=0034-6535%2819960 ... 0.CO%3B2-S&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
Related works:
Working Paper: A Dynamic Structural Model for Stock Return Volatility and Trading Volume (1995) 
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:tpr:restat:v:78:y:1996:i:1:p:94-110
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().