摘要：This paper uses a trivariate structural vector autoregressive model to estimate the effects of permanent fundamental, transitory fundamental, and non-fundamental shocks on returns, volatility, and volume. Though each of these three shocks affects all three variables, these effects are not equal. Returns are mostly driven by permanent fundamental shocks, volatility is primarily affected by transitory fundamental shocks, and volume is mainly determined by non-fundamental shocks. This trivariate SVAR model also helps empirically decompose returns, volatility, and volume into the three shock components. Further, we find that the stock market decline in early 2000 was triggered by changes in fundamentals, and was not just the outcome of non-informational trading.
关键词：permanent and transitory shocks;non-fundamental shocks;trading volume
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