Nonlinear Properties of Stock Price and Trading Volume

• 발행기관: 한국자료분석학회
• 저자명: Yeonjeong Lee Seong-Min Yoon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.14 No.1, 23~35쪽, 전체 13쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2012.02.28

영문 초록

In this paper, we investigate the nonlinear properties in the dynamic process of the daily changes of stock price and trading volume in the Korean stock market by using the STAR class models. The estimation results indicate that the ESTAR model is appropriate for both the time series of price returns and volume changes, and this model is capable of capturing a substantial portion of asymmetric movements of the variables. Examining the local dynamics of variables by analyzing characteristic roots, we found that once both variables are in a specific regime, they are more likely to stay there for a period of time. Lastly, this study tests nonlinear Granger causality. Most of our test results show bidirectional nonlinear Granger causality between these two variables.

목차

1. Introduction

2. STAR models

3. Empirical results

4. Nonlinear Granger causality test

5. Conclusions

References

키워드

Financial time series STAR model Nonlinear Granger causality Regime