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| Author: | Bohl, M.T. Henke, H. |
| Title: | Trading volume and stock market volatility: the Polish case |
| Journal: | International Review of Financial Analysis
2003 : VOL. 12:5, p. 513-525 |
| Index terms: | Markov chains Stock returns Switzerland |
| Freeterms: | Regime switching |
| Language: | eng |
| Abstract: | This paper investigates the relationship between daily returns and trading volume for 20 Polish stocks relying on the mixture of distributions hypothesis (MDH). The empirical results show that in the majority of cases volatility persistence tends to disappear when trading volume is included in the conditional variance equation, which is an agreement with the findings of studies on developed stock markets. |
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