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Volume, volatility, and leverage: A dynamic analysis

Publication ,  Journal Article
Tauchen, G; Zhang, H; Liu, M
Published in: Journal of Econometrics
January 1, 1996

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.

Duke Scholars

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Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 1996

Volume

74

Issue

1

Start / End Page

177 / 208

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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Tauchen, G., Zhang, H., & Liu, M. (1996). Volume, volatility, and leverage: A dynamic analysis. Journal of Econometrics, 74(1), 177–208. https://doi.org/10.1016/0304-4076(95)01755-0
Tauchen, G., H. Zhang, and M. Liu. “Volume, volatility, and leverage: A dynamic analysis.” Journal of Econometrics 74, no. 1 (January 1, 1996): 177–208. https://doi.org/10.1016/0304-4076(95)01755-0.
Tauchen G, Zhang H, Liu M. Volume, volatility, and leverage: A dynamic analysis. Journal of Econometrics. 1996 Jan 1;74(1):177–208.
Tauchen, G., et al. “Volume, volatility, and leverage: A dynamic analysis.” Journal of Econometrics, vol. 74, no. 1, Jan. 1996, pp. 177–208. Scopus, doi:10.1016/0304-4076(95)01755-0.
Tauchen G, Zhang H, Liu M. Volume, volatility, and leverage: A dynamic analysis. Journal of Econometrics. 1996 Jan 1;74(1):177–208.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 1996

Volume

74

Issue

1

Start / End Page

177 / 208

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics