Volume, Volatility and Leverage: A Dynamic Analysis

George Tauchen (), Harold Zhang and Ming Liu

No 95-02, Working Papers from Duke University, Department of Economics

Abstract: This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for lienar models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca Cola, IBM, and MMM.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (2)

Published in JOURNAL OF ECONOMETRICS, Vol. 74, 1996, pages 177-208

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