Effets volume, volatilit et transmissions internationales sur les march s boursiers dans le G5

Sanvi Avouyi-Dovi, Eric Jondeau and Charles Lai Tong

Working papers from Banque de France

Abstract: Using daily data covering the 1988-1995 period, this paper checks the effects of three kinds of determinants on the main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very high, especially for Dow Jones, DAX and Nikkei. International transmission mechanisms are very clear-cut for return equations (in particular, from Dow Jones to other stock market indices), but much more contrasted for volatility equations. The trading volumes have marked effects on all the markets, both in the return and in the volatility equations.

Keywords: Stock markets; Volatility; Trading volume; International transmission. (search for similar items in EconPapers)
Pages: 28 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:42

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