This paper provides empirical support for the notion that autoregressive conditional heteroskedasticity in daily stock return data reflects time dependence in the process generating information flow to the market. Daily trading volume, used as a proxy for information arrival time, is shown to have significant explanatory power regarding the variance of daily returns, which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns. Furthermore, autoregressive conditional heteroskedasticity effects tend to disappear when volume is included in the variance equation. Copyright 1990 by American Finance Association.
Stock returns have long been recognized to be heteroscedastic as well as leptokurtic. One model that...
Purpose – The purpose of this paper is to examine whether the seasonal anomaly known as the reverse ...
International audienceThis paper develops a model for stock trading which takes intoaccount both inf...
The result of Lamoureux and Lastrapes and Omran and McKenzie are extended to the Swedish stock marke...
This paper examines the relation between stock returns and stock market volatility in an autoregress...
We investigate whether return volatility, trading volume, return asymmetry, business cycles, and day...
Frequently observed evidence strengthens the findings about stock returns exhibiting heteroscedastic...
A large body of literature finds that the unexpected trading volume, which is obtained by filtering ...
The main purpose of this thesis is to examine and compare the Mixture of Distributions Hypothesis ve...
In this paper we model equity returns by extending the selectivity corrected market model approach o...
Autoregressive Conditional Heteroscedasticity (ARCH) effects have been hypothesized to be caused by ...
This paper investigates the relationship between stock market trading volume and the autocorrelation...
This paper investigates the role of intraday prices and volume to generate daily volatility forecast...
SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9517(no 95/08) / BLDSC - British...
This paper investigates empirical contemporaneous and causal relationships between stock returns, tr...
Stock returns have long been recognized to be heteroscedastic as well as leptokurtic. One model that...
Purpose – The purpose of this paper is to examine whether the seasonal anomaly known as the reverse ...
International audienceThis paper develops a model for stock trading which takes intoaccount both inf...
The result of Lamoureux and Lastrapes and Omran and McKenzie are extended to the Swedish stock marke...
This paper examines the relation between stock returns and stock market volatility in an autoregress...
We investigate whether return volatility, trading volume, return asymmetry, business cycles, and day...
Frequently observed evidence strengthens the findings about stock returns exhibiting heteroscedastic...
A large body of literature finds that the unexpected trading volume, which is obtained by filtering ...
The main purpose of this thesis is to examine and compare the Mixture of Distributions Hypothesis ve...
In this paper we model equity returns by extending the selectivity corrected market model approach o...
Autoregressive Conditional Heteroscedasticity (ARCH) effects have been hypothesized to be caused by ...
This paper investigates the relationship between stock market trading volume and the autocorrelation...
This paper investigates the role of intraday prices and volume to generate daily volatility forecast...
SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9517(no 95/08) / BLDSC - British...
This paper investigates empirical contemporaneous and causal relationships between stock returns, tr...
Stock returns have long been recognized to be heteroscedastic as well as leptokurtic. One model that...
Purpose – The purpose of this paper is to examine whether the seasonal anomaly known as the reverse ...
International audienceThis paper develops a model for stock trading which takes intoaccount both inf...