Trading Volume and Stock Market Volatility: The Polish Case
Posted: 12 Feb 2003
Relying on the mixture of distributions hypothesis, this paper investigates the relationship between daily returns and trading volume for 20 Polish stocks. Our 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 in agreement with the findings of studies on developed stock markets. However, we cannot confirm the testable implications of the mixture of distributions hypothesis in all cases which indicates that future research on the causes and modeling of Polish stock market volatility is necessary.
Keywords: GARCH, trading volume, persistence, Polish stock market
JEL Classification: G10, C22
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