The relationship between stock return volatility and trading volume: The case of the Philippines
This article reconsiders the relationship between stock return volatility and trading volume. Based on the multi-factor stochastic volatility model for stock return, we suggest several specifications for the trading volume. This approach enables the unobservable information arrival to follow the ARM...
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| Main Authors: | , |
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| Format: | text |
| Published: |
Animo Repository
2008
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/3274 |
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| Institution: | De La Salle University |