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Effects of Trading Volume and Transaction Frequency on the Volatility of the Korean Bond Futures Market

윤성민|강상훈
한국금융공학회 (Korean Association of Financial Engineering)|2014.03|金融工學硏究 (Korean Journal of Financial Engineering)|제13권 제1호|pp. 149-169|DOI 10.35527/kfedoi.2014.13.1.007

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키워드

지속성변동성VolatilityPersistence거래량혼합분포가설Transaction FrequencyTrading VolumeInformation ArrivalMixture of Distributions Hypothesis정보도착거래빈도수
주제분류경영학

초록

This study investigates the relationship between return volatility and trading volume (or transaction frequency) as a proxy variable for information arrival. For this purpose, we employ daily price returns, trading volume and transaction frequency generated by 30-minute time segments in the Korean treasury bond (KTB) futures market. Including trading volume in the GARCH model reduces the persistence of conditional variances, suggesting that trading volume is a useful innovation for explaining the persistence of return volatility in the KTB Futures market. This finding provides support for the mixture of distributions hypothesis (MDH) that return volatility and trading volume are influenced by the same underlying flow of latent information to markets. In particular, we find that transaction frequency is a good substitute variable for explaining the persistence of return volatility as a proxy for information arrival for the KTB Futures market.

Abstract

This study investigates the relationship between return volatility and trading volume (or transaction frequency) as a proxy variable for information arrival. For this purpose, we employ daily price returns, trading volume and transaction frequency generated by 30-minute time segments in the Korean treasury bond (KTB) futures market. Including trading volume in the GARCH model reduces the persistence of conditional variances, suggesting that trading volume is a useful innovation for explaining the persistence of return volatility in the KTB Futures market. This finding provides support for the mixture of distributions hypothesis (MDH) that return volatility and trading volume are influenced by the same underlying flow of latent information to markets. In particular, we find that transaction frequency is a good substitute variable for explaining the persistence of return volatility as a proxy for information arrival for the KTB Futures market.

참고문헌 (33)

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