Volume and the Nonlinear Dynamics of Stock Returns:
This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literat...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1998
|
| Ausgabe: | 1st ed. 1998 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
457 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4 |
| Beschreibung: | 1 Online-Ressource (VIII, 133 p) |
| ISBN: | 9783642457654 |
| DOI: | 10.1007/978-3-642-45765-4 |
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| 520 | |a This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4 | ||
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| institution | BVB |
| isbn | 9783642457654 |
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| spelling | Hsu, Chiente Verfasser aut Volume and the Nonlinear Dynamics of Stock Returns by Chiente Hsu 1st ed. 1998 Berlin, Heidelberg Springer Berlin Heidelberg 1998 1 Online-Ressource (VIII, 133 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 457 This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4 Finance, general Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Nichtparametrisches Modell (DE-588)4434654-2 gnd rswk-swf Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Aktienrendite (DE-588)4126593-2 s Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 s Volatilität (DE-588)4268390-7 s Nichtparametrisches Modell (DE-588)4434654-2 s DE-604 Aktienkurs (DE-588)4141736-7 s Mathematisches Modell (DE-588)4114528-8 s Erscheint auch als Druck-Ausgabe 9783540636724 Erscheint auch als Druck-Ausgabe 9783642457661 https://doi.org/10.1007/978-3-642-45765-4 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hsu, Chiente Volume and the Nonlinear Dynamics of Stock Returns Finance, general Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Mathematisches Modell (DE-588)4114528-8 gnd Aktienkurs (DE-588)4141736-7 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Volatilität (DE-588)4268390-7 gnd Aktienrendite (DE-588)4126593-2 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4141736-7 (DE-588)4434654-2 (DE-588)4276267-4 (DE-588)4268390-7 (DE-588)4126593-2 |
| title | Volume and the Nonlinear Dynamics of Stock Returns |
| title_auth | Volume and the Nonlinear Dynamics of Stock Returns |
| title_exact_search | Volume and the Nonlinear Dynamics of Stock Returns |
| title_exact_search_txtP | Volume and the Nonlinear Dynamics of Stock Returns |
| title_full | Volume and the Nonlinear Dynamics of Stock Returns by Chiente Hsu |
| title_fullStr | Volume and the Nonlinear Dynamics of Stock Returns by Chiente Hsu |
| title_full_unstemmed | Volume and the Nonlinear Dynamics of Stock Returns by Chiente Hsu |
| title_short | Volume and the Nonlinear Dynamics of Stock Returns |
| title_sort | volume and the nonlinear dynamics of stock returns |
| topic | Finance, general Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Mathematisches Modell (DE-588)4114528-8 gnd Aktienkurs (DE-588)4141736-7 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Volatilität (DE-588)4268390-7 gnd Aktienrendite (DE-588)4126593-2 gnd |
| topic_facet | Finance, general Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Mathematisches Modell Aktienkurs Nichtparametrisches Modell Nichtlineare Zeitreihenanalyse Volatilität Aktienrendite |
| url | https://doi.org/10.1007/978-3-642-45765-4 |
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