Lecture Notes in Economics and Mathematical Systems

Volume and the Nonlinear Dynamics of Stock Returns

Authors: Hsu, Chiente

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About this book

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.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-3-642-45765-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $119.99
price for USA
  • ISBN 978-3-540-63672-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Volume and the Nonlinear Dynamics of Stock Returns
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
457
Copyright
1998
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-45765-4
DOI
10.1007/978-3-642-45765-4
Softcover ISBN
978-3-540-63672-4
Series ISSN
0075-8442
Edition Number
1
Number of Pages
VIII, 133
Topics