If you need an accessible version of this item please contact JSTOR User Support

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

Christopher G. Lamoureux and William D. Lastrapes
The Journal of Finance
Vol. 45, No. 1 (Mar., 1990), pp. 221-229
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328817
Stable URL: http://www.jstor.org/stable/2328817
Page Count: 9
  • Download PDF
  • Cite this Item

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support
Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
Preview not available

Abstract

This paper provides empirical support for the notion that Autoregressive Conditional Heteroskedasticity (ARCH) in daily stock return data reflects time dependence in the process generating information flow to the market. Daily trading volume, used as a proxy for information arrival time, is shown to have significant explanatory power regarding the variance of daily returns, which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns. Furthermore, ARCH effects tend to disappear when volume is included in the variance equation.

Page Thumbnails

  • Thumbnail: Page 
221
    221
  • Thumbnail: Page 
222
    222
  • Thumbnail: Page 
223
    223
  • Thumbnail: Page 
224
    224
  • Thumbnail: Page 
225
    225
  • Thumbnail: Page 
226
    226
  • Thumbnail: Page 
227
    227
  • Thumbnail: Page 
228
    228
  • Thumbnail: Page 
229
    229