코스닥시장의 거래량과 일시적 변동성의 관계 = The Relationship between Trading Volume and Transitory Volatility in KOSDAQ Market

다국어 초록 (Multilingual Abstract)

In this study, I examined the relationship between trading volume and stock price index volatility in KOSDAQ market. Especially, this study analyzed the effect on observed volatility, fundamental volatility and transitory volatility individually. Observed volatility consists of fundamental volatility and transitory volatility. Fundamental volatility is trend component and is modelled as a random walk with drift. Transitory volatility is cyclical component and is modelled as a stationary process. Observed volatility is estimated by GJR GARCH(1,1) model. And I use Hodrick-Prescott filter to decompose total trading volume into expected and unexpected components.
This study uses Granger causality test to analyze the relationship between trading volume and volatility over the data from January of 2002 to June of 2007. The results of this study are as follows.
First, there is two-way Granger causality between observed volatility and total trading volume and there is two-way Granger causality between observed volatility and expected trading volume. Unexpected trading volume Granger causes observed volatility, no reverse causality was observed. That is, unexpected trading volume precedes observed volatility. Second, fundamental volatility Granger causes total trading volume. There is no Granger causality between fundamental volatility and expected trading volume. Fundamental volatility Granger causes unexpected trading volume. Third, total trading volume precedes transitory volatility. There is no Granger causality between transitory volatility and expected trading volume. Unexpected trading volume precedes transitory volatility.

참고문헌 (Reference)

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