Trading Volume and Stock Market Volatility: The Polish Case

Posted: 12 Feb 2003

See all articles by Martin T. Bohl

Martin T. Bohl

University of Muenster

Harald Henke

European University Viadrina, Frankfurt (Oder)

Abstract

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

Suggested Citation

Bohl, Martin T. and Henke, Harald, Trading Volume and Stock Market Volatility: The Polish Case. Available at SSRN: https://ssrn.com/abstract=360240

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Harald Henke

European University Viadrina, Frankfurt (Oder) ( email )

Department of Finance and Capital Market Theory
Gr. Scharrnstr. 59
15230 Frankfurt (Oder)
Germany

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