Surprise volume and heteroskedasticity in equity market returns
研究了交易量能否解释股票回报的异方差性，发现意外交易量（超出预期的活跃交易）能更好地拟合模型，解释波动率持续性和超额峰度，并揭示显著的正市场风险溢价和条件方差中的意外交易量效应。
Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume—i.e. unexpected above-average trading activity—which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and Lastrapes () model by an asymmetric GARCH in-mean specification following Golsten et al. (). Model estimation for the US as well as six large equity markets shows that surprise volume provides superior model fit and helps to explain volatility persistence as well as excess kurtosis. Surprise volume reveals a significant positive market risk premium, asymmetry and a surprise volume effect in conditional variance. The findings suggest that e.g. a surprise volume shock (breakdown)—i.e. large (small) contemporaneous and small (large) lagged surprise volume—relates to increased (decreased) conditional market variance and return.