Stock return, trading volume, and volatility: an empirical study of Hong Kong.

by Sze Kin Wan.Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.Includes bibliographical references (leaves 69-75).Abstract also in Chinese.ACKNOWLEDGMENTS --- p.iiiLIST OF TABLES --- p.ivLIST OF ILLUSTRATIONS --- p.vCHAPTERChapter ONE --- INTRODUCTION --- p.1Chapter TWO --- REVIEW OF THE LITERATURE --- p.7Stock Returns and Trading VolumeVolatilityChapter THREE --- ECONOMETRIC ANALYSIS --- p.16Unit Root TestsLag Length TestsCausality Detection between Two SeriesARCH ModellingChapter FOUR --- DATA AND ESTIMATION RESULTS --- p.34DataUnit Root TestOptimal Lag LengthCausality DetectionGARCH ModellingChapter FIVE --- CONCLUSION --- p.62APPENDIX --- p.67BIBLIOGRAPHY --- p.69ILLUSTRATIONS --- p.7