| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10475245 | Journal of Empirical Finance | 2012 | 14 Pages |
Abstract
⺠We propose a two-state Markov-switching model for stock market returns. ⺠We examine the predictive power of price range and trading volume for volatility. ⺠Negative relation between return and volatility prevails under the proposed model. ⺠There are asymmetries in the effects of price range on return volatility. ⺠Equity returns in the long run follow the Samuelson's 'rebound' process (1991).
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xinyi Liu, Dimitris Margaritis, Peiming Wang,