Volume and the nonlinear dynamics of stock returns
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書誌事項
Volume and the nonlinear dynamics of stock returns
（Lecture notes in economics and mathematical systems, 457）
Springer-Verlag, c1998
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注記
Bibliography: p. [123]-130
内容説明・目次
内容説明
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.
目次
- 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.
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