Endogenous trading volume and momentum in stock-return volatility

Christopher G Lamoureux, Wisiiam D. Lastrapes

Research output: Contribution to journalArticle

101 Citations (Scopus)

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 - 1994
Externally publishedYes

Fingerprint

Stock Returns
Volatility
Momentum
Serial Dependence
Latent Process
Signal Extraction
Common factor
Mixture Model
Viability
Persistence
persistence
simulation
Stock return volatility
Trading volume
ability
Simulation

Keywords

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

ASJC Scopus subject areas

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

Cite this

Endogenous trading volume and momentum in stock-return volatility. / Lamoureux, Christopher G; Lastrapes, Wisiiam D.

In: Journal of Business and Economic Statistics, Vol. 12, No. 2, 1994, p. 253-260.

Research output: Contribution to journalArticle

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