재무연구 제 20권 3호 (2007년 11월)
Asian Review of Financial Research, Vol.20, No.3.
pp.35~56
vol.20 no.3
pp.35~56
Can Trading Volume Explain Persistence and Asymmetry of Return Volatility?
Sang Hoon Kang School of Commerce, University of South Australia.
Seong-Min Yoon Division of Economics, Pukyong National University
We investigated the relationship between return volatility and trading volume using 20 individual Korean stocks. Employing trading volume as a proxy for information arrival, the implications of volatility persistence and asymmetry were tested using the GARCH(1,1) and EGARCH(1,1) models. The empirical analysis shows that, although including trading volume in the GARCH and EGARCH models explains the persistence and asymmetry of conditional variances, the remaining ARCH effects are still present in the residuals of those models. These results do not support the implications of the volatility?volume relationship of the mixture of distribution hypothesis in the Korean stock market.
Sang Hoon Kang
Seong-Min Yoon
We investigated the relationship between return volatility and trading volume using 20 individual Korean stocks. Employing trading volume as a proxy for information arrival, the implications of volatility persistence and asymmetry were tested using the GARCH(1,1) and EGARCH(1,1) models. The empirical analysis shows that, although including trading volume in the GARCH and EGARCH models explains the persistence and asymmetry of conditional variances, the remaining ARCH effects are still present in the residuals of those models. These results do not support the implications of the volatility?volume relationship of the mixture of distribution hypothesis in the Korean stock market.
Volume Effect,Volatility Persistence,Asymmetric Volatility,Mixture of Distribution Hypothesis,Korean Stock Market
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