The Sources of Variance in the Helsinki Stock Exchange
We investigate the relationship between the fundamental and the transitory variance. We study how the transitory variance deviates from the fundamental variance. We use the Gonzalo and Granger (1995) permanent-temporary approach to decompose the variance common factor into a transitory and a permane...
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2017
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| Online Access: | http://hdl.handle.net/10725/5945 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.efmaefm.org/0EFMSYMPOSIUM/2006/papers/128-EFM06%20-%20BenSitaBernard%20-Volatility_TradingIntensity.pdf |
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| _version_ | 1864513478217170944 |
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| author | Ben Sita, Bernard |
| author_facet | Ben Sita, Bernard |
| author_role | author |
| dc.creator.none.fl_str_mv | Ben Sita, Bernard |
| dc.date.none.fl_str_mv | 2017-07-21T11:45:56Z 2017-07-21T11:45:56Z 2017-07-21 |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10725/5945 Sita, B. B. The Sources of Variance in the Helsinki Stock Exchange: An Investigation of the Fundamental and the Transitory Variance. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.efmaefm.org/0EFMSYMPOSIUM/2006/papers/128-EFM06%20-%20BenSitaBernard%20-Volatility_TradingIntensity.pdf |
| dc.language.none.fl_str_mv | en |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | The Sources of Variance in the Helsinki Stock Exchange An Investigation of the Fundamental and the Transitory Variance The Relationship between Trading Intensity and Variance |
| dc.type.none.fl_str_mv | Conference Paper / Proceeding info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/conferenceObject |
| description | We investigate the relationship between the fundamental and the transitory variance. We study how the transitory variance deviates from the fundamental variance. We use the Gonzalo and Granger (1995) permanent-temporary approach to decompose the variance common factor into a transitory and a permanent component. We find that the midquote returns variance contributes by about 64 % of the common variance factor against 36 % by the trade returns variance. Furthermore, inserting the ratio of volume expectation to duration expectation in the ARMA model and the vector error correction (VEC) model, we find that the short-term variance increases (decreases) when more (less) than 1 unit share is traded for 1 unit time. |
| eu_rights_str_mv | openAccess |
| format | conferenceObject |
| id | LAURepo_53c27d4fd5b62b1f54beffe6250f5ce1 |
| identifier_str_mv | Sita, B. B. The Sources of Variance in the Helsinki Stock Exchange: An Investigation of the Fundamental and the Transitory Variance. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/5945 |
| publishDate | 2017 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
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| spelling | The Sources of Variance in the Helsinki Stock ExchangeAn Investigation of the Fundamental and the Transitory VarianceThe Relationship between Trading Intensity and VarianceBen Sita, BernardWe investigate the relationship between the fundamental and the transitory variance. We study how the transitory variance deviates from the fundamental variance. We use the Gonzalo and Granger (1995) permanent-temporary approach to decompose the variance common factor into a transitory and a permanent component. We find that the midquote returns variance contributes by about 64 % of the common variance factor against 36 % by the trade returns variance. Furthermore, inserting the ratio of volume expectation to duration expectation in the ARMA model and the vector error correction (VEC) model, we find that the short-term variance increases (decreases) when more (less) than 1 unit share is traded for 1 unit time.N/A44 p. : ill.Includes bibliographical references (p. 35-38)2017-07-21T11:45:56Z2017-07-21T11:45:56Z2017-07-21Conference Paper / Proceedinginfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjecthttp://hdl.handle.net/10725/5945Sita, B. B. The Sources of Variance in the Helsinki Stock Exchange: An Investigation of the Fundamental and the Transitory Variance.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttp://www.efmaefm.org/0EFMSYMPOSIUM/2006/papers/128-EFM06%20-%20BenSitaBernard%20-Volatility_TradingIntensity.pdfeninfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/59452021-03-19T09:10:08Z |
| spellingShingle | The Sources of Variance in the Helsinki Stock Exchange Ben Sita, Bernard |
| status_str | publishedVersion |
| title | The Sources of Variance in the Helsinki Stock Exchange |
| title_full | The Sources of Variance in the Helsinki Stock Exchange |
| title_fullStr | The Sources of Variance in the Helsinki Stock Exchange |
| title_full_unstemmed | The Sources of Variance in the Helsinki Stock Exchange |
| title_short | The Sources of Variance in the Helsinki Stock Exchange |
| title_sort | The Sources of Variance in the Helsinki Stock Exchange |
| url | http://hdl.handle.net/10725/5945 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.efmaefm.org/0EFMSYMPOSIUM/2006/papers/128-EFM06%20-%20BenSitaBernard%20-Volatility_TradingIntensity.pdf |