Volume, volatility, and leverage: A dynamic analysis

Published

Journal Article

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

Full Text

Duke Authors

Cited Authors

  • Tauchen, G; Zhang, H; Liu, M

Published Date

  • January 1, 1996

Published In

Volume / Issue

  • 74 / 1

Start / End Page

  • 177 - 208

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/0304-4076(95)01755-0

Citation Source

  • Scopus