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https://ruomo.lib.uom.gr/handle/7000/333
Πλήρης εγγραφή μεταδεδομένων
Πεδίο DC | Τιμή | Γλώσσα |
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dc.contributor.author | Koulakiotis, Athanasios | - |
dc.contributor.author | Dasilas, Apostolos | - |
dc.contributor.author | Molyneux, Phil | - |
dc.date.accessioned | 2019-10-30T11:36:28Z | - |
dc.date.available | 2019-10-30T11:36:28Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | https://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-sector | en_US |
dc.identifier.uri | https://ruomo.lib.uom.gr/handle/7000/333 | - |
dc.description.abstract | This 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 volatility | en_US |
dc.language.iso | en | en_US |
dc.source | Investment Management and Financial Innovation | en_US |
dc.subject | FRASCATI::Social sciences::Economics and Business::Finance | en_US |
dc.title | Does Trading Volume Influence GARCH Effects? – Some evidence from the Greek Market | en_US |
dc.type | Article | en_US |
dc.contributor.department | Τμήμα Εφαρμοσμένης Πληροφορικής | en_US |
local.identifier.volume | 4 | en_US |
local.identifier.issue | 3 | en_US |
local.identifier.firstpage | 33 | en_US |
local.identifier.lastpage | 38 | en_US |
Εμφανίζεται στις Συλλογές: | Τμήμα Εφαρμοσμένης Πληροφορικής |
Αρχεία σε αυτό το Τεκμήριο:
Αρχείο | Περιγραφή | Μέγεθος | Μορφότυπος | |
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Does trading voulme affects Greek Banking sector.pdf | 121,95 kB | Adobe PDF | Προβολή/Ανοιγμα |
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