Volume and the Nonlinear Dynamics of Stock Returns
This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of
- PDF / 14,424,818 Bytes
- 136 Pages / 439.37 x 666.14 pts Page_size
- 106 Downloads / 188 Views
457
Springer Berlin Heidelberg New York Barcelona Budapest Hong Kong London Milan Paris Santa Clara Singapore Tokyo
Chiente Hsu
Volume and the Nonlinear Dynamics of Stock Returns
Springer
Author Dr. Chiente Hsu University of Vienna Department 'of Economics Hohenstaufengasse 9 A-lOlO Vienna, Austria
Library of Congress Cataloglng-In-Publication Data
Hsu. Chlente. 1964Volume and the nonlinear dynamics of stock returns I Chiente Hsu. p. cm. -- (Lecture notes In economics and mathematical systems. ISSN 0075-8442 ; 457) Includes bibliographical references (p. ). ISBN-13: 978-3-540-63672-4
1. Stocks--Prlces--Mathematlcal models. I. Title. II. Series. HG4636.H78 1998 332.63'222--dc21
2. Return on investment. 97-35146 CIP
ISSN 0075-8442 ISBN-13: 978-3-540-63672-4 001: 10.1007/978-3-642-45765-4
e-ISBN-13: 978-3-642-45765-4
This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law.
© Springer-Verlag Berlin Heidelberg 1998 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author 42/3142-543210 - Printed on acid-free paper SPIN: 10549323
Preface This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement.
Contents 1 Introduction
1
2 Efficient Stock Markets 2.1 Equilibrium Models of Asset Pricing 2.1.1 The Martigale Model of Stock Prices 2.1.2 Lucas' Consumption Based Asset Pricing
7 8 8
Model
2.2 Econometric Tests of the Efficient Market Hypothesis 2.2.1 Autocorrelation Based Tests 2.2.2 Volatility Tests 2.2.3 Time-Varying Expected Returns 3 The Informational Role of Volume
3.1 Standard Grossman-Stiglitz Model 3.2 T
Data Loading...
