returnvolatilityandtradingvolumeaninformationflowin新.pdfVIP

THE JOURNAL OF FINANCE VOL. LI, NO. 1 MARCH 1996 Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility TORBEN G. ANDERSEN* ABSTRACT The paper develops an empirical return volatility-trading volume model from a microstructure framework in which informational asymmetries and liquidity needs motivate trade in response to information arrivals. The resulting system modifies th