印度股票市场非对称波动率、交易量与风险收益关系的实证研究

P. K. Naik, Puja Padhi
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引用次数: 0

摘要

本文的目的是研究波动性不对称、波动性与交易量的关系(以交易量为混合变量)以及印度股市的风险收益关系。从1997年1月2日到2013年5月30日,SP的每日数据为MDH提供了支持,但即使在纳入交易量后,波动性冲击也被发现是高度持续的。该研究还发现风险和回报之间没有显著关系的证据。由于交易量反映了市场预期的信息,研究结果可能适用于交易者、投机者以及金融决策者和从业人员。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market
The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering trading volume as a mixing variable, and the risk-return relationship in the Indian stock market. Daily data from January 2, 1997 to May 30, 2013 for SP provide supports to MDH but the volatility shocks are found to be highly persistent even after incorporating trading volume. The study also finds evidence of no significant relationship between risk and return. The implication of the findings may be applicable to traders, speculator as well as the financial decision makers and practitioners as the trading volume reflects the information about market expectation.
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