Dynamic Volume-Volatility Relation
Dynamic Volume-Volatility Relation
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动态成交量-波动率关系
DOI：
10.2139/ssrn.603841
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Hanfeng Wang
中科院分区：
文献类型：
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作者：
Hanfeng Wang
我们发现，交易量不仅有助于同期波动，如以前的文献中指出，但也有助于随后的波动负。交易量和波动性之间的这种模式在个股、基于交易量的投资组合、基于规模的投资组合和市场指数以及每日数据和每周数据中始终存在。这些实证研究结果倾向于支持信息驱动交易（IDT）假说是更普遍和更强大的解释交易活动在股票市场比流动性驱动交易（LDT）假说。我们的附加检验得到了三个有趣的发现：1）流动性和信息不对称程度影响成交量与后续波动率的关系; 2）成交量对后续波动率的影响与成交量大小存在非线性关系，这与Barclay和Warner的结论一致（1993，JFE）的发现，3）成交量对后续波动的影响在股价上涨和下跌时是不对称的，我们将这种不对称性归因于卖空约束。
We find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. And this pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetry when the stock price moves up and when the stock price moves down, and we attribute this asymmetry to the short-selling constraints.