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MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS
Author(s) -
Connolly Robert,
Stivers Chris
Publication year - 2005
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2005.00123.x
Subject(s) - volatility (finance) , stock (firearms) , economics , volatility clustering , stock market , econometrics , inventory turnover , financial economics , stock market index , cluster analysis , monetary economics , stock exchange , autoregressive conditional heteroskedasticity , finance , biology , mechanical engineering , paleontology , horse , machine learning , computer science , engineering
We study volatility clustering in daily stock returns at both the index and firm levels from 1985 to 2000. We find that the relation between today's index return shock and the next period's volatility decreases when important macroeconomic news is released today and increases with the shock in today's stock market turnover. Collectively, our results suggest that volatility clustering tends to be stronger when there is more uncertainty and disperse beliefs about the market's information signal. Our findings also contribute to a better understanding of the joint dynamics of stock returns and trading volume.