An empirical analysis of trading volume and return volatility in using GARCH model: the Malaysia case / Tan Yan Ling and Toy Bee Hoong

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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...

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Bibliographic Details
Main Authors:	Tan, Yan Ling, Toy, Bee Hoong
Format:	Article
Language:	English
Published:	2011
Subjects:	Analysis
Online Access:	https://ir.uitm.edu.my/id/eprint/5887/

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