The relationship between stock return volatility and trading volume: the case of the Philippines

References

• Admati , A and Fleiderer , P . 1988 . A theory of intraday patterns: volume, & price variability . Review of Financial Studies , 1 : 3 – 40 .
   Web of Science ®Google Scholar
• Andersen , TG . 1996 . Return volatility and trading volume: an information flow interpretation of stochastic volatility . Journal of Finance , 51 : 169 – 204 .
   Web of Science ®Google Scholar
• Asai , M . 2007 . Autoregressive stochastic volatility models with heavy-tailed distributions: a comparison with multifactor volatility models . Journal of Empirical Finance , (To appear)
   Google Scholar
• Chernov , M , Gallant , AR , Ghysels , E and Tauchen , G . 2003 . Alternative models for stock price dynamics . Journal of Econometrics , 116 : 225 – 57 .
   Web of Science ®Google Scholar
• Durbin , J and Koopman , SJ . 1997 . Monte carlo maximum likelihood estimation for non-gaussian state space models . Biometrika , 84 : 669 – 84 .
   Web of Science ®Google Scholar
• Engle , R . 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation . Econometrica , 50 : 987 – 1008 .
   Web of Science ®Google Scholar
• Fleming , J , Kirby , C and Ostdiek , B . 2006 . Stochastic volatility, trading volume, and the daily flow of information . Journal of Business , 79 : 1551 – 90 .
   Web of Science ®Google Scholar
• Foster , F and Vishwanathan , S . 1993 . The effects of public information and competition on trading volume and price volatility . Review of Financial Studies , 6 : 23 – 56 .
   Web of Science ®Google Scholar
• Granger , CWJ and Morris , M . 1976 . Time series modeling and interpretation . Journal of the Royal Statistical Society, A , 139 : 246 – 57 .
   Web of Science ®Google Scholar
• Harris , L . 1987 . Transaction data tests of the mixture of distributions hypothesis . Journal of Financial and Quantitative Analysis , 22 : 127 – 41 .
   Web of Science ®Google Scholar
• Lamoureux , CG and Lastrapes , WD . 1994 . Endogenous trading volume and momentum in stock-return volatility . Journal of Business & Economic Statistics , 12 : 253 – 60 .
   Web of Science ®Google Scholar
• Liesenfeld , R . 1998 . Dynamic bivariate mixture models: modeling the behavior of prices and trading volume . Journal of Business & Economic Statistics , 16 : 101 – 9 .
   Web of Science ®Google Scholar
• Liesenfeld , R . 2001 . A generalized bivariate mixture model for stock price volatility and trading volume . Journal of Econometrics , 104 : 141 – 78 .
   Web of Science ®Google Scholar
• Lo , A and MacKinlay , A . 1988 . Stock prices do not follow random walks: evidence from a simple specification test . Review of Financial Studies , 1 : 41 – 66 .
   Web of Science ®Google Scholar
• Lo , A and MacKinlay , A . 1990 . An econometric analysis of nonsynchronous-trading . Journal of Econometrics , 45 : 181 – 212 .
   Web of Science ®Google Scholar
• Mahieu , R and Bauer , R . 1998 . A bayesian analysis of stock return volatility and trading volume . Applied Financial Economics , 8 : 671 – 87 .
   Google Scholar
• McAleer , M . 2005 . Automated inference and learning in modeling financial volatility . Econometric Theory , 21 : 232 – 61 .
   Web of Science ®Google Scholar
• Sandmann , G and Koopman , SJ . 1998 . Estimation of stochastic volatility models via monte carlo maximum likelihood . Journal of Econometrics , 87 : 271 – 301 .
   Web of Science ®Google Scholar
• Selçuk , F . 2005 . Asymmetric stochastic volatility in emerging stock markets . Applied Financial Economics , 15 : 867 – 74 .
   Google Scholar
• Taylor , SJ . 1986 . Modelling Financial Time Series , Chichester : John Wiley and Sons .
   Google Scholar
• Tauchen , GE and Pitts , M . 1983 . The price variability-volume relationship on speculative markets . Econometrica , 51 : 485 – 505 .
   Web of Science ®Google Scholar