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dc.contributor.authorKoulakiotis, Athanasios-
dc.contributor.authorDasilas, Apostolos-
dc.contributor.authorMolyneux, Phil-
dc.date.accessioned2019-10-30T11:36:28Z-
dc.date.available2019-10-30T11:36:28Z-
dc.date.issued2007-
dc.identifier.urihttps://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-68/does-trading-volume-influence-garch-effects-some-evidence-from-the-greek-market-with-special-reference-to-banking-sectoren_US
dc.identifier.urihttps://ruomo.lib.uom.gr/handle/7000/333-
dc.description.abstractThis paper examines whether trading volume has any impact on GARCH and GJRGARCH estimates for the Greek banking sector and the Greek FTSE/ASE Mid 40 stock price index for the period of 2000-2005. The results from the GARCH and GJR-GARCH models with and without volume indicate that GARCH and GJR-GARCH effects become smaller when trading volume is taken into account. In particular, these effects are seen mainly through the influence on the past conditional volatility coefficient in both the models that include trading volume. However, the coefficient of squared innovations improves after the inclusion of trading volume. This means that there still remains unexplained information in the market that it is not captured through the modelling approach used. The results suggest that trading volume partly affects the GARCH and GJR-GARCH estimates implying a negative relationship between stock price volatility and trading volume. It is also found that bad news can have a significant impact on stock price volatilityen_US
dc.language.isoenen_US
dc.sourceInvestment Management and Financial Innovationen_US
dc.subjectFRASCATI::Social sciences::Economics and Business::Financeen_US
dc.titleDoes Trading Volume Influence GARCH Effects? – Some evidence from the Greek Marketen_US
dc.typeArticleen_US
dc.contributor.departmentΤμήμα Εφαρμοσμένης Πληροφορικήςen_US
local.identifier.volume4en_US
local.identifier.issue3en_US
local.identifier.firstpage33en_US
local.identifier.lastpage38en_US
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