An empirical analysis of trading volume and return volatility in using GARCH model: the Malaysia case / Tan Yan Ling and Toy Bee Hoong
The relationship between trading volume and return volatility has long been debated either on the contemporaneous correlation as explained by the mixture distribution hypothesis (MDH) or causal (lead-lag) relation as suggested by the sequential information arrival hypothesis (SIAH).The former is pro...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | https://ir.uitm.edu.my/id/eprint/5887/1/5887.pdf |