Time reversibility tests of volume–volatility dynamics for stock returns

Time reversibility tests of volume–volatility dynamics for stock returns

Non-parametric tests based on the concept of time reversibility in statistical mechanics are applied to assess the dynamic implications of the mixture-of-distributions hypothesis (MDH). The tests show that shocks to volume and volatility are dynamically asymmetric, thus rejecting the one-factor MDH.

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Bibliographische Detailangaben
Veröffentlicht in:Economics letters 2003-10, Vol.81 (1), p.39-45
1. Verfasser: Fong, Wai Mun
Format: Artikel
Sprache:eng
Schlagworte:
ARCH and trading volume
Economic conditions
Economic models
Economic theory
Economics
Microeconomics
Nonparametric test
Stock exchange
Stock returns
Time reversibility
Volatility
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Beschreibung
Zusammenfassung:Non-parametric tests based on the concept of time reversibility in statistical mechanics are applied to assess the dynamic implications of the mixture-of-distributions hypothesis (MDH). The tests show that shocks to volume and volatility are dynamically asymmetric, thus rejecting the one-factor MDH.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(03)00146-0