Heteroskedasticity in the returns of the main world stock exchange indices: volume versus GARCH effects [An article from: Journal of International Financial Markets, Institutions & Money]

by V. Arago, L. Nieto

List Price:	~~$10.95~~
Amazon Price:	$10.95 & eligible for FREE Super Saver Shipping on orders over $25.
Lowest New Price:	$10.95
Availablitiy:	Available for download now

Editorial Reviews
Product Description
This digital document is a journal article from Journal of International Financial Markets, Institutions & Money, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This study re-examines the results of [Lamoureax, C.G., Lastrapes, W.D., 1990. Heteroskedasticity in stock return data: volume versus GARCH effects. Journal of Business & Economic Statistics (2), 253-260]. Lamoureux and Lastrapes (1990) analyzing the persistence of GARCH effects on the return of nine international stock exchange indices. The result in all markets shows that the inclusion of trading volume does not substantially reduce the persistence of conditional volatility. This coincidence in results enables us to support the argument of [Sharma, J.L., Mougoue, M., Kamath, R., 1996. Heteroscedasticity in stock market indicator return data: volumen versus GARCH effects. Applied Financial Economics (6), 337-342] that, in market return, macroeconomic factors prevail over those of particular companies. Unexpected trading volume is used as a proxy variable for the information flow rate. Even though this variable is unable to reduce GARCH effects, its greater impact on volatility suggests that this is not so much affected by the level of market activity but rather by unexpected changes in this level.

Price is accurate as of the date/time indicated. Prices and product availability are subject to change. Any price displayed on the Amazon website at the time of purchase will govern the sale of this product.