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ON STOCK MARKET ASYMMETRIC VOLATILITY AND TRADING VOLUME
Keywords:
stock returns, volatility asymmetry, volatility persistence, GARCH-type modelsDOI:
https://doi.org/10.17654/0972086322014Abstract
This study utilized GARCH-type models to model the relationship between stock returns and its volatility in addition to investigating the asymmetric volatility of both emerging and developed markets. The effect of including trading volume in the conditional variance of GARCH-type models on volatility asymmetry and volatility persistence is probed. The results reveal that stock returns and its volatility are positively related. Moreover, developed markets are described by high volatility clustering and volatility persistence as compared to emerging markets. Addition of trading volume on conditional variance equation has an effect on both asymmetric volatility and volatility persistence. Finally, it is revealed that holding asset returns from emerging market is risky than that of developed markets.
Received: July 3, 2022
Revised: August 9, 2022
Accepted: September 10, 2022
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