Trading volume and volatility of stock returns: Evidence from some European and Asian stock markets
This paper analyses the relationship between the daily volatility of stock returns and the trading volume using the TGARCH models for selected European and Asian stock markets. The leverage effect has been proved in all analysed cases. The logarithm of the trading volume was included into the condit...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | Artigo |
| اللغة: | Inglês |
| منشور في: |
Wydawnictwo SGGW - Warsaw University of Life Sciences Press
2011-12-01
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| سلاسل: | Quantitative Methods in Economics |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://qme.sggw.edu.pl/article/view/3094 |
| الوسوم: |
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