Stochastic Volatility, Trading Volume, and the Daily Flow of Information

Jeff Fleming, Chris Kirby and Barbara Ostdiek
Additional contact information
Jeff Fleming: Rice University
Barbara Ostdiek: Rice University

The Journal of Business, 2006, vol. 79, issue 3, 1551-1590

Abstract: We use state-space methods to investigate the relation between volume, volatility, and ARCH effects within a mixture of distributions hypothesis (MDH) framework. Most recent studies of the MDH fit AR(1) specifications that require the information flow to be highly persistent. Using a more general specification, we find evidence of a large nonpersistent component of volatility that is closely related to the contemporaneous nonpersistent component of volume. However, in contrast to studies that fit volume-augmented GARCH models, we find no evidence that volume subsumes ARCH effects. Since volume-augmented GARCH models are subject to simultaneity bias, our findings should be more robust than these prior results.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

Downloads: (external link)
http://dx.doi.org/10.1086/500685 main text (application/pdf)
Access to the online full text or PDF requires a subscription.

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:ucp:jnlbus:v:79:y:2006:i:3:p:1551-1590

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().