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100论坛币
Threshold linkages between volatility and trading volume: evidence from developed and emerging markets

Author Info:
Jawadi Fredj  Ureche-Rangau Loredana

Abstract


This paper studies volatility dynamics and provides further insights into its relationship with trading volume. In particular, we examine whether trading volume is significantly informative for investors when attempting to apprehend potential changes in volatility dynamics, and hence, in the evolution of market risk. To this end, we apply recent nonlinear modeling tools, namely Switching Transition Regression (STR) models that are robust to asymmetry and nonlinearity as well as TARCH models to check for the nature of transition between volatility regimes. Our findings show that volatility dynamics exhibit nonlinearity and switching regimes for which the transition is smooth rather than abrupt. Furthermore, one regime is associated with low volatility and a weak relationship with trading volume while in the second regime, the causality relationship is stronger and volatility is high. The paper’s novelty is to show that not only does trading volume contribute to explaining market volatility, but also that the change in volatility dynamics is performed through the change in its relationship with trading volume.




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牛尾巴 发表于 2013-12-4 21:10:10 |只看作者 |坛友微信交流群
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