大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

On threshold quantile regression with heteroskedasticity: stock return-volume relations

Cathy W. S. Chen (Feng Chia University)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. On threshold quantile regression with heteroskedasticity: stock return-volume relations

大阪大学 金融・保険セミナーシリーズ 第56回

On threshold quantile regression with heteroskedasticity: stock return-volume relations

Cathy W. S. Chen (Feng Chia University)

Abstract:
This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” An adaptive Bayesian Markov chain Monte Carlo scheme, exploiting the link between the quantile loss function and the asymmetric-Laplace distribution, is employed for estimation and inference, simultaneously estimating and accounting for nonlinear heteroskedasticity plus unknown threshold limits and delay lags. Six daily Dow Jones Industrial stocks are considered, the proposed model captures asymmetric risk through market beta and volume coefficient that change discretely between regimes that are driven by market information and various quantile levels. This study finds significantly negative effects of abnormal volume on stock excess return under low quantile levels, nevertheless there are significantly positive effects under high quantile levels. The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions.

Keywords: Asymmetric Laplace distribution, Quantile regression; Volume Asymmetric; GARCH; HP-filter; Market beta; MCMC;

この研究会は、経済学研究科の経営研究会と共催です