Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/14102
Title: Revisit the volume versus GARCH effects - Evidence from China stock markets
Authors: XU JUN
Keywords: volatility, GARCH, volume, turnover, mixture of distributions hypothesis (MDH), Shanghai Stock Exchange
Issue Date: 22-Sep-2004
Citation: XU JUN (2004-09-22). Revisit the volume versus GARCH effects - Evidence from China stock markets. ScholarBank@NUS Repository.
Abstract: This paper tests for the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) effect on China stock markets for different periods and re-examines the findings in Lamoureux and Lastrapes (1990) using alternative proxies for information flow which are included in the conditional variance equation of a GARCH model. The results show that the numbers of transaction clusters and the turnover have positive effects on conditional volatility and the GARCH effects do completely vanish and the persistence of volatility reduces in most cases as a result of these inclusions.
URI: http://scholarbank.nus.edu.sg/handle/10635/14102
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02ABSTRACT.pdf7.93 kBAdobe PDF

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03ACKNOWLEDGEMENTS.pdf12.96 kBAdobe PDF

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04Revist the volume versus garch effects--Evidence from china stock markets.pdf258.98 kBAdobe PDF

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05Revist the volume versus garch effects--Evidence from china stock markets.pdf135.52 kBAdobe PDF

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