出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：This study investigates the effect of trading volume on the conditional volatility persistence of 13 individual stocks listed on the GSE using Lamoureux and Lastrapes (1990) model. All the stocks show a high degree of volatility persistence. FINSSP succeeded in making volatility of various stocks on GSE decay faster. It also turn out that FINSSP is significant in increasing the leverage effect of stocks on GSE. It was observed that volume traded has significant effect on conditional variance that volume traded may be a good proxy for stock-level analysis, but not for market-level analysis. The effect of expected trading volume on conditional variance in most stocks turnout to be stronger than unexpected trading volume.
关键词：GSE; Expected and Unexpected Trading Volume; Volatility; FINSSP and GARCH.
