英文标题：
《The relationship between trading volumes, number of transactions, and
stock volatility in GARCH models》
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作者：
Tetsuya Takaishi and Ting Ting Chen
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最新提交年份：
2017
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英文摘要：
We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatility. The impact of trading volumes or number of transactions on volatility is measured using the generalized autoregressive conditional heteroscedasticity (GARCH) model. We find that the GARCH effects, that is, persistence of volatility, is not always removed by adding trading volumes or number of transactions, indicating that trading volumes and number of transactions do not adequately represent the rate of information arrivals.
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中文摘要：
我们使用东京证券交易所的每日股票数据来检验交易量、交易数量和波动性之间的关系。根据混合分布假设，我们使用交易量和交易数量作为影响股票波动性的信息到达率的代理。使用广义自回归条件异方差（GARCH）模型衡量交易量或交易数量对波动性的影响。我们发现，通过增加交易量或交易数量并不总能消除GARCH效应，即波动的持续性，这表明交易量和交易数量并不足以代表信息到达的速度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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