The selectivity corrected market model and heteroscedasticity in stock returns data: yet another look at volume versus GARCH

Brooks, R, Faff, R, Fry, T and Newton, E 2004, 'The selectivity corrected market model and heteroscedasticity in stock returns data: yet another look at volume versus GARCH', Accounting Research Journal, vol. 17, no. 2, pp. 192-201.


Document type: Journal Article
Collection: Journal Articles

Title The selectivity corrected market model and heteroscedasticity in stock returns data: yet another look at volume versus GARCH
Author(s) Brooks, R
Faff, R
Fry, T
Newton, E
Year 2004
Journal name Accounting Research Journal
Volume number 17
Issue number 2
Start page 192
End page 201
Total pages 10
Publisher RMIT University, Department of Economics and Finance
Abstract In this paper we model equity returns by extending the selectivity corrected market model approach of Brooks et al (2003) to explicitly consider the form of the heteroscedasticity contained in the variance component. In particular we fmd that the variance of the selectivity corrected market model depends upon an asset's daily trading volume. When combined with a volatility model, such as EGARCH, this may go some way to explaining earlier findings in the literature of "Volume versus GARCH".
Subject Financial Economics
ISSN 1030-9616
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