TY - JOUR
T1 - Heteroskedasticity in Stock Return Data
T2 - Volume versus GARCH Effects
AU - LAMOUREUX, CHRISTOPHER G.
AU - LASTRAPES, WILLIAM D.
PY - 1990/3
Y1 - 1990/3
N2 - This paper provides empirical support for the notion that Autoregressive Conditional Heteroskedasticity (ARCH) in daily stock return data reflects time dependence in the process generating information flow to the market. Daily trading volume, used as a proxy for information arrival time, is shown to have significant explanatory power regarding the variance of daily returns, which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns. Furthermore, ARCH effects tend to disappear when volume is included in the variance equation. 1990 The American Finance Association
AB - This paper provides empirical support for the notion that Autoregressive Conditional Heteroskedasticity (ARCH) in daily stock return data reflects time dependence in the process generating information flow to the market. Daily trading volume, used as a proxy for information arrival time, is shown to have significant explanatory power regarding the variance of daily returns, which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns. Furthermore, ARCH effects tend to disappear when volume is included in the variance equation. 1990 The American Finance Association
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U2 - 10.1111/j.1540-6261.1990.tb05088.x
DO - 10.1111/j.1540-6261.1990.tb05088.x
M3 - Article
AN - SCOPUS:84977718808
SN - 0022-1082
VL - 45
SP - 221
EP - 229
JO - The Journal of Finance
JF - The Journal of Finance
IS - 1
ER -