- mémoire - matière potentielle : property of volatility dynamics
ANNALS OF ECONOMICS AND FINANCE 13-1, 217–242 (2012) The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective Tianyi Wang China Center for Economic Research, National School of Development Peking University, 100871 and Zhuo Huang* China Center for Economic Research, National School of Development Peking University, Beijing, 100871 We use heterogeneous autoregressive (HAR) model with high-frequency da- ta of Hu-Shen 300 index to investigate the volatility-volume relationship via the volatility decomposition approach.
- liquidity trading
- opening of the morning market
- trading volume
- relationship between volatility
- daily volatility
- volatility
- stock before the price
- stock price
- data