Volume and the Nonlinear Dynamics of Stock Returns

ISBN-13: 9783540636724 / Angielski / Miękka / 1998 / 133 str.

Chiente Hsu

Opis

This is a study of volume and the nonlinear dynamics of stock returns. It examines efficient stock markets, the informational role of volume, volume and the volatility of stock returns, nonlinear analysis of return and volume and testing the structural model.

Spis treści

Introduction.- Efficient Stock Markets: Equilibrium Models of Asset Pricing; Econometric Tests of the Efficient Markets Hypothesis.- The Informational Role of Volume: Standard Grossman-Stiglitz Model; The No-Trade Result of the BEO Model; A Model with Nontradable Asset.- Volume and Volatility of Stock Returns: Empirical and Numerical Results; Summary.- Nonlinear Analysis of Return and Volume: A Preliminary Data Exploration; Estimation of the Conditional Density; Nonlinear Impulse Response Analysis.- Testing the Structural Model: The Structural Model; Efficient Method of Moments; Application of EMM; Does The Stochastic Volatility Model Do Better?; Summary.- Conclusions.