Endogenous trading volume and momentum in stock-return volatility

Christopher G. Lamoureux, Wisiiam D. Lastrapes

Research output: Contribution to journalArticlepeer-review

101 Scopus citations

Abstract

This article examines the ability of volume data to shed light on the source of persistence in stock-return volatility. A mixture model, in which a latent common factor restricts the joint density of volume and returns, is used to relax the assumption of exogenous volume used in previous studies. We use a point-in-time signal-extraction procedure to identify this latent process and a calibrated simulation to conduct analysis of the viability of the model to explain important properties of the data. Using daily returns and volume on individual stocks, our procedure cannot accommodate serial dependence in squared returns.

Original languageEnglish (US)
Pages (from-to)253-260
Number of pages8
JournalJournal of Business and Economic Statistics
Volume12
Issue number2
DOIs
StatePublished - Apr 1994

Keywords

  • Autoregressive conditional heteroscedasticity model
  • Mixture model
  • Random- effects model
  • Small-sample analysis

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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