کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084557 1477912 2015 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks
ترجمه فارسی عنوان
تنوع زمانی در ریسک سیستماتیک، بازده و حجم معاملات: شواهد موجود در معادن فلزات گرانبها
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We investigate whether trading volume has explanatory power for time variation in CAPM betas as well as returns, for the precious metals mining sector. We show that significant dependencies exist between these variables; however, empirical linkages are only revealed when quantile regression method is employed. The observed dynamics are particularly strong between trading volume and returns. We find that returns from lower (higher) quantiles have a negative (positive) relation with volume. We discuss the consistency of this asymmetric relation with equilibrium volume-return autocorrelation models suggested in prior work.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 41, October 2015, Pages 277-283
نویسندگان
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