حجم معاملات و نوسانات بازار سهام : مورد لهستانی

Relying on the mixture of distributions hypothesis (MDH), this paper investigates the relationship between daily returns and trading volume for 20 Polish stocks. Our empirical results show that in the majority of cases volatility persistence tends to disappear when trading volume is included in the conditional variance equation, which is in agreement with the findings of studies on developed stock markets. However, we cannot confirm the testable implications of the MDH in all cases, which indicates that future research on the causes and modeling of Polish stock market volatility is necessary.

Recent studies on the volatility of stock returns have been dominated by time series models of conditional heteroscedasticity and have found strong support for GARCH effects. These findings are important to the field of applied finance for at least three reasons. First, the estimated return variances are used as risk measures and enter directly into Black–Scholes-type derivative pricing formulas. Second, heteroscedasticity must be taken into account for tests of market efficiency to produce reliable test statistics. Third, most asset pricing theories relate expected returns to the joint second-order movements of returns as well as to other stochastic processes; therefore, efficient estimating and testing must take into account the heteroscedasticity property of returns. While a large number of studies have found evidence in favor of GARCH effects in stock returns, there is no consensus on the underlying economic explanations for the autoregressive effect on the conditional variance. One of the possible theoretical explanations is the mixture of distributions hypothesis (MDH) put forward by Clark (1973), Epps and Epps (1976), and Tauchen and Pitts (1983) and more recently by Lamoureux and Lastrapes (1990).1 According to the MDH, a serially correlated mixing variable measuring the rate at which information arrives to the market explains the GARCH effect in the returns. This linkage has been documented, among others, for the U.S. stock market by Andersen (1996), Gallo and Pacini (2000), Kim and Kon (1994), and Lamoureux and Lastrapes (1990) and the UK stock market by Omran and McKenzie (2000). In general, the bulk of empirical studies has found evidence that the inclusion of trading volume in GARCH models for returns results in a decrease of the estimated persistence or even causes it to vanish. While a fair amount of empirical evidence on the daily return–volume relationship exists for developed, highly liquid stock markets in industrial countries, to our knowledge, the current literature does not provide findings on this issue for central and eastern European capital markets.2 Hence, the purpose of this paper is to provide initial evidence for one of the developing stock markets in central and eastern Europe, namely the Polish stock market.3 Relying on a sample of 20 individual stocks for the period from January 4, 1999 to October 31, 2000, we investigate the issue of whether GARCH effects in daily stock returns capture the effects of temporal dependence in daily trading volume for stocks in the Polish market. We examine the return–volume relationship for Polish stocks to determine whether there are differences between developed markets and one emerging market. The paper proceeds as follows: Section 2 outlines the theoretical foundation and the methodology. A description of the data, the empirical results for the Polish stocks, and the findings of existing investigations are contained in Section 3, and Section 4 concludes.

An appealing theoretical explanation for the presence of GARCH effects in stock returns is based on the hypothesis that daily stock returns are generated by a stochastic mixing variable reflecting the rate of daily information arrivals to the market. According to the so-called MDH, GARCH behavior in stock returns might capture the autocorrelation properties of trading volume used as an observable measure for the mixing variable. While the return– volume relationship has been broadly confirmed for individual shares of developed stock markets like the U.S. and the UK market, there is no empirical evidence for central and eastern European countries. Hence, the purpose of this paper is twofold. First, we examine the validity of the MDH for Polish stocks during the period from January 4, 1999 to October 31, 2000. Second, we determine whether the evidence on the Polish stock market parallels the evidence found for developed stock markets in industrial countries. Our evidence on individual Polish stocks supports, to a large extent, the implications of the MDH. In most cases, the inclusion of trading volume as an explanatory variable in the conditional variance equation results in a substantial reduction of volatility persistence in daily returns. Hence, serially correlated news arrival processes are a source of GARCH effects in the Polish stock market and the implications of the MDH provide to a large extent a valid theoretical explanation for Polish stock market volatility. This finding corresponds to the results found for highly liquid stock markets in industrial countries (e.g., Gallo & Pacini, 2000; Kim & Kon, 1994; Lamoureux & Lastrapes, 1990; Omran & McKenzie, 2000) and the Korean emerging stock market (Pyun et al., 2000). While we have found strong support in favor of the implications of the MDH, for some of the stocks under investigation, however, the inclusion of trading volume has no significant effect on volatility persistence, which encourages future research on the Polish stock market. Scope for future research is given by the challenge of investigating alternative proxies for trading activities in the Polish stock market. Using the contemporaneous trading volume as the mixing variable, we assume that trading volume can be considered weakly exogenous with respect to returns. Furthermore, extensions of the standard GARCH model including trading volume can be applied to analyze possible asymmetric effects and effects of stock price regulation. Another useful route to pursue in future research on the Polish stock market as well as on other stock markets in central and eastern Europe is the analysis of modifications to the standard MDH.