English, Article edition: More on the volatility-trading volume relationship in emerging markets: The Chinese stock market Loredana Ureche-Rangau; Quiterie de Rorthays

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Physical Description
  • article
Language
  • English

Edition details

Title
  • More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
Author
  • Loredana Ureche-Rangau
  • Quiterie de Rorthays
Physical Description
  • article
Notes
  • This paper empirically investigates the characteristics in terms of volatility and trading volume relationships of the Chinese stock markets, and specifically of the stocks comprising the SSE180 index. Our results show that, contrary to previous evidence, both volatility and trading volume appear to be multi-fractal and highly intermittent, suggesting a common long-run behaviour in addition to the common short-term behaviour underlined by former studies. Moreover, the trading volume seems to have no explanatory power for volatility persistence when introduced in the conditional variance equation. Finally, the sign of the trading volume coefficients is mainly negative, hence showing a negative correlation between the two variables.
  • volatility persistence, long-memory, trading volume,
  • RePEc:taf:japsta:v:36:y:2009:i:7:p:779-799
Language
  • English
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