GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA

Article OPEN
Craig A. Depken II;
(2001)
  • Journal: Journal of Applied Economics, volume 4, issue November, pages 313-327
  • Subject: information flows; autocorrelation
    • jel: jel:C32 | jel:G14

It is shown that the volume of trade can be decomposed into proportional proxies for stochastic flows of good news and bad news into the market. Positive (good) information flows are assumed to increase the price of a financial vehicle while negative (bad) information f... View more
  • References (10)

    Baillie, Richard T. and Bollerslev, T. (1989), “The Message in Daily Exchange Rates: A Conditional Variance Tale,” Journal of Business and Economic Statistics, 7: 297-305.

    Bollerslev, Tim (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31: 307-327.

    Bollerslev, Tim, Robert F. Engle, and Daniel B. Nelson (1993), “ARCH Models,” The Handbook of Econometrics, Volume 4.

    Diebold, Francis X. (1986), “Comment on Modeling the Persistence of Conditional Variance,” Econometric Review, 5: 51-56.

    Engle, Robert F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50: 987-1007.

    Lamoureux, Christopher and William D. Lastrapes (1990), “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,” Journal of Finance, 45: 221-229.

    Lamoureux, Christopher and William D. Lastrapes (1994), “Endogenous Trading Volume and Momentum in Stock Return Volatility,” Journal of Business and Economics Statistics, 12: 253-260.

    Laux, Paul A. and Ng, Lilian K. (1993) “The Sources of GARCH: Empirical Evidence from an Intraday Returns Model Incorporating Systematic and Unique Risks,” Journal of International Money and Finance, 12: 543- 560.

    Stock, James H., (1987), “Measuring Business Cycle Time,” Journal of Political Economy, 95: 1240-1261.

    Stock, James H., (1988), “Estimating Continuous-time Processes Subject to Time Deformation,” Journal of the American Statistical Association, 83: 77-85.

  • Related Organizations (1)
  • Metrics
Share - Bookmark