Can speculative trading explain the volume-volatility relation?
Publication
, Journal Article
Foster, FD; Viswanathan, S
Published in: Journal of Business and Economic Statistics
January 1, 1995
We derive a speculative trading model with endogenous informed trading that yields a conditionally heteroscedastic time series for trading volume and the squared price changes. We use half-hourly price-change and volume data for IBM during 1988 to test the model and estimate the structural parameters using the simulated method-of-moments estimation procedure. Although the model seems to do a reasonable job fitting the unconditional moments of the volume and the squared price change processes, it fares less well in fitting the relation between current trading volume and lags of trading volume and squared volume (and its lag’s) relation to squared price changes. © 1995 Taylor & Francis Group, LLC.
Duke Scholars
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Published In
Journal of Business and Economic Statistics
DOI
EISSN
1537-2707
ISSN
0735-0015
Publication Date
January 1, 1995
Volume
13
Issue
4
Start / End Page
379 / 396
Related Subject Headings
- Econometrics
- 15 Commerce, Management, Tourism and Services
- 14 Economics
- 01 Mathematical Sciences
Citation
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Foster, F. D., & Viswanathan, S. (1995). Can speculative trading explain the volume-volatility relation? Journal of Business and Economic Statistics, 13(4), 379–396. https://doi.org/10.1080/07350015.1995.10524613
Foster, F. D., and S. Viswanathan. “Can speculative trading explain the volume-volatility relation?” Journal of Business and Economic Statistics 13, no. 4 (January 1, 1995): 379–96. https://doi.org/10.1080/07350015.1995.10524613.
Foster FD, Viswanathan S. Can speculative trading explain the volume-volatility relation? Journal of Business and Economic Statistics. 1995 Jan 1;13(4):379–96.
Foster, F. D., and S. Viswanathan. “Can speculative trading explain the volume-volatility relation?” Journal of Business and Economic Statistics, vol. 13, no. 4, Jan. 1995, pp. 379–96. Scopus, doi:10.1080/07350015.1995.10524613.
Foster FD, Viswanathan S. Can speculative trading explain the volume-volatility relation? Journal of Business and Economic Statistics. 1995 Jan 1;13(4):379–396.
Published In
Journal of Business and Economic Statistics
DOI
EISSN
1537-2707
ISSN
0735-0015
Publication Date
January 1, 1995
Volume
13
Issue
4
Start / End Page
379 / 396
Related Subject Headings
- Econometrics
- 15 Commerce, Management, Tourism and Services
- 14 Economics
- 01 Mathematical Sciences