文章基本信息

标题：DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? – SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR
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作者：Athanasios Koulakiotis ; Apostolos Dasilas ; Phil Molyneux 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2007
卷号：4
期号：3
页码：33-38
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper examines whether trading volume has any impact on GARCH and GJRGARCH estimates for the Greek banking sector and the Greek FTSE/ASE Mid 40 stock price in?dex for the period of 2000-2005.The results from the GARCH and GJR-GARCH models with and without volume indicate that GARCH and GJR-GARCH effects become smaller when trading volume is taken into account.In particular,these effects are seen mainly through the influence on the past conditional volatility coefficient in both the models that include trading volume.However, the coefficient of squared innovations improves after the inclusion of trading volume.This means that there still remains unexplained information in the market that it is not captured through the modelling approach used.The results suggest that trading volume partly affects the GARCH and GJR-GARCH estimates implying a negative relationship between stock price volatility and trading volume.It is also found that bad news can have a significant impact on stock price volatility.
关键词：Volatility clustering;GARCH models;Greek Banking Sector;Athens Stock Exchange.