文章基本信息

标题：Permanent, Transitory, And Non-Fundamental Components Of Returns, Volatility, And Volume
本地全文：下载
作者：Megan Y. Sun
期刊名称：Journal of Business & Economics Research
印刷版ISSN：1542-4448
电子版ISSN：2157-8893
出版年度：2011
卷号：6
期号：6
语种：English
出版社：The Clute Institute for Academic Research
摘要：This paper uses a trivariate structural vector autoregressive model to estimate the effects of permanent fundamental, transitory fundamental, and non-fundamental shocks on returns, volatility, and volume. Though each of these three shocks affects all three variables, these effects are not equal. Returns are mostly driven by permanent fundamental shocks, volatility is primarily affected by transitory fundamental shocks, and volume is mainly determined by non-fundamental shocks. This trivariate SVAR model also helps empirically decompose returns, volatility, and volume into the three shock components. Further, we find that the stock market decline in early 2000 was triggered by changes in fundamentals, and was not just the outcome of non-informational trading.
关键词：permanent and transitory shocks;non-fundamental shocks;trading volume