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《Journal of Southeast University (Natural Science Edition)》 2005-02
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Volatility between volume and price returns: evidence from Chinese stock markets

Li Fujun Da Qingli(College of Economics and Management, Southeast University, Nanjing 210096, China)  
The dynamic volatility relations between the volume and price returns are analyzed by using the evidence from Chinese stock markets. The results show that the GARCH(generalized autoregressive conditional heteroskedasticity) effect occurs in daily price return series. Moreover, the positive relationship and bi-direction linear Granger causality are maintained between price returns and volume. There exists volatility asymmetry in Chinese stock markets. By comparing the impact of TARCH (threshold autoregressive conditional heteroskedasticity) and EGARCH(exponential generalized autoregressive conditional heteroskedasticity), it can be seen that the imitation result from EGARCH model is better than that from TARCH model.
【CateGory Index】: F830.91
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