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Volume and the Nonlinear Dynamics of Stock Returns : LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS - Chiente Hsu

Volume and the Nonlinear Dynamics of Stock Returns

LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

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This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain the main empirical regularities found in high frequency stock data: (i) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally, the model is tested using efficient method of moments.

Introductionp. 1
Efficient Stock Marketsp. 7
Equilibrium Models of Asset Pricingp. 8
Econometric Tests of the Efficient Market Hypothesisp. 13
The Informational Role of Volumep. 29
Standard Grossman-Stiglitz Modelp. 31
The No-Trad Result of the BEO Modelp. 34
A Model with Nontradable Assetp. 37
Volume and Volatility of Stock Returnsp. 43
Empirical and Numerical Resultsp. 45
Summaryp. 50
Nonlinear Analysis of Return and Volumep. 59
A Preliminary Data Explorationp. 60
Estimation of the Conditional Densityp. 64
Nonlinear Impulse Response Analysisp. 72
Testing the Structure Modelp. 85
The Structural Modelp. 86
Efficient Method of Momentsp. 87
Application of EMMp. 91
Does the Stochastic Volatility Model Do Better?p. 96
Summaryp. 98
Conclusionsp. 103
A Proof of Proposition 1p. 107
B Proof of Proposition 2p. 113
Referencesp. 123
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540636724
ISBN-10: 3540636722
Series: LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS
Audience: General
Format: Paperback
Language: English
Number Of Pages: 133
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 24.13 x 15.88  x 0.64
Weight (kg): 0.23