The Relationship between Volatility and Trading Volume in the ...

• 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