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9783540636724

Volume and the Nonlinear Dynamics of Stock Returns

by
  • ISBN13:

    9783540636724

  • ISBN10:

    3540636722

  • Format: Paperback
  • Copyright: 1998-06-01
  • Publisher: Springer Verlag
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List Price: $119.99

Summary

This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain the main empirical regularities found in high frequency stock data: (i) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally, the model is tested using efficient method of moments.

Table of Contents

1 Introduction
1(6)
2 Efficient Stock Markets
7(22)
2.1 Equilibrium Models of Asset Pricing
8(5)
2.1.1 The Martigale Model of Stock Prices
8(1)
2.1.2 Lucas' Consumption Based Asset Pricing Model
9(4)
2.2 Econometric Tests of the Efficient Market Hypothesis
13(16)
2.2.1 Autocorrelation Based Tests
14(2)
2.2.2 Volatility Tests
16(9)
2.2.3 Time-Varying Expected Returns
25(4)
3 The Informational Role of Volume
29(14)
3.1 Standard Grossman-Stiglitz Model
31(3)
3.2 The No-Trad Result of the BEO Model
34(3)
3.3 A Model with Nontradable Asset
37(6)
4 Volume and Volatility of Stock Returns
43(16)
4.1 Empirical and Numerical Results
45(5)
4.2 Summary
50(9)
5 Nonlinear Analysis of Return and Volume
59(26)
5.1 A Preliminary Data Exploration
60(4)
5.2 Estimation of the Conditional Density
64(8)
5.2.1 SNP Estimator
64(3)
5.2.2 SNP Fitting of the Bivariate Return-Volume Conditional Density
67(5)
5.3 Nonlinear Impulse Response Analysis
72(13)
5.3.1 Conditional Mean and Conditional Variance Profile
72(2)
5.3.2 Computation
74(1)
5.3.3 Empirical Results
75(10)
6 Testing the Structure Model
85(18)
6.1 The Structural Model
86(1)
6.2 Efficient Method of Moments
87(4)
6.2.1 EMM Estimator
89(2)
6.3 Application of EMM
91(5)
6.3.1 Score Generator
91(1)
6.3.2 Estimation of the Structural Model
92(4)
6.4 Does the Stochastic Volatility Model Do Better?
96(2)
6.5 Summary
98(5)
7 Conclusions
103(4)
A Proof of Proposition 1 107(6)
B Proof of Proposition 2 113(10)
References 123

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