Volume, Volatility, and Leverage: A Dynamic Analysis

Tauchen, George; Liu, Ming; Zhang, Harold H.

doi:10.2139/ssrn.37800

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Volume, Volatility, and Leverage: A Dynamic Analysis

46 Pages Posted: 12 May 1997

See all articles by George Tauchen

Harold H. Zhang

University of Texas at Dallas - Naveen Jindal School of Management; China Academy of Financial Research (CAFR)

Date Written: February 1995

Abstract

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a non-parametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

JEL Classification: G12, G14

Suggested Citation: Suggested Citation

Tauchen, George E. and Liu, Ming and Zhang, Harold Huibing, Volume, Volatility, and Leverage: A Dynamic Analysis (February 1995). Available at SSRN: https://ssrn.com/abstract=37800 or http://dx.doi.org/10.2139/ssrn.37800