The testing of causal stock returns-trading volume dependencies with the aid of copulas

• Autorzy: Gurgul H. , Mestel R. , Syrek R.

Warianty tytułu

PL

Testowanie zależności przyczynowych pomiędzy stopami zwrotu a wielkością obrotów za pomocą kopuł

• Języki publikacji: EN

Abstrakty

EN

This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. It is worth noting that these tests can be used in general settings since there is no restriction on the dimension of the data. The parameter which must be set up for the testing procedure is a bandwidth. It is necessary for estimation of the nonparametric copula. The paper presents some patterns of causal relationships between stock returns, realized volatility and expected and unexpected trading volume. There is linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. Therefore, a knowledge of past stock returns can improve forecasts of expected trading volume. They did not find causality running in the opposite direction.

PL

W artykule przeprowadzono analizę zależności pomiędzy stopami zwrotu, ich zmiennością oraz wielkością obrotów pięciu spółek notowanych na Wiedeńskiej Giełdzie Papierów Wartościowych. Wykorzystując dane wysokiej częstotliwości, przeprowadzono testy, wykorzystując kopule Bernsteina oraz odległość Hellingera. Warto zauważyć, że testy te mogą być zastosowane dla dowolnej liczby zmiennych. Jedynym parametrem, który musi określić badacz, jest parametr określający dokładność oszacowania nieparametrycznych gęstości kopuł. W pracy zaprezentowano pewne wzory zależności przyczynowych pomiędzy stopami zwrotu, zmiennością oraz oczekiwanym i nieoczekiwanym wolumenem. Wykazano, że istnieje zależność przyczynowa od zmienności zrealizowanej do oczekiwanego wolumenu i brak takiej zależności w odwrotnym kierunku. Wykryto silną zależność przyczynową liniową oraz nieliniową od stóp zwrotu do oczekiwanego wolumenu. Oznacza to, że znajomość historycznych stóp zwrotu może być pomocna w prognozowaniu oczekiwanego wolumenu. Nie wykryto zależności w kierunku przeciwnym.

Słowa kluczowe

EN

intraday data; realized volatility; trading volume; dynamic interrelations; copulas

PL

dane intraday; zmienność zrealizowana; wielkość obrotów; zależności dynamiczne; kopule

• Wydawca: Wydawnictwa AGH
• Czasopismo: Managerial Economics
• Rocznik: 2013
• Tom: nr 13
• Strony: 21--44
• Opis fizyczny: Bibliogr. 46 poz., rys., wykr., tab.

Twórcy

autor

Gurgul H.

• AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics

autor

Mestel R.

• University of Applied Sciences Joanneum in Graz, Department of Banking and Insurance

autor

Syrek R.

• Jagiellonian University in Cracow, Institute of Economics and Management

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