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• W2110348891 abstract "ABSTRACT 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." @default.
• W2110348891 created "2016-06-24" @default.
• W2110348891 creator A5062317263 @default.
• W2110348891 creator A5071956189 @default.
• W2110348891 date "1990-03-01" @default.
• W2110348891 modified "2023-10-09" @default.
• W2110348891 title "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects" @default.
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• W2110348891 doi "https://doi.org/10.1111/j.1540-6261.1990.tb05088.x" @default.
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