Volume and the Nonlinear Dynamics of Stock Returns

1. Front Matter

   Pages i-viii

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2. Introduction

   • Chiente Hsu

   Pages 1-6

3. Efficient Stock Markets

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   Pages 7-27

4. The Informational Role of Volume

   • Chiente Hsu

   Pages 29-41

5. Volume and Volatility of Stock Returns

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   Pages 43-58

6. Nonlinear Analysis of Return and Volume

   • Chiente Hsu

   Pages 59-83

7. Testing the Structural Model

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   Pages 85-101

8. Conclusions

   • Chiente Hsu

   Pages 103-105

9. Back Matter

   Pages 107-136

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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.

• Aktienmarkt
• Aktienrendite
• Asset Pricing
• Handelsvolumen
• Investment
• Volatility
• stock market
• stock returns
• trading volume

• Department of Economics, University of Vienna, Vienna, Austria

  Chiente Hsu

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