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Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?
He, Zhifang1; Huang, Chuangxia2,3; Gong, Xu4; Yang, Xiaoguang3; Wen, Fenghua5
2017-12-01
Source PublicationEURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION
ISSN1305-8215
Volume13Issue:12Pages:8367-8382
AbstractThis paper uses the downside realized semi variance to measure the downside risk and then the HAR-DR, HAR-DR-V and HAR-DR-DV models on the basis of the HAR-RV model are built. Finally, by comparing the three models' prediction ability for downside risk in the stock spot market and futures market, we test whether the trading volume and downside trading volume of the two markets can be used to predict the downside risk. And we also study the differences under different samples and different models. The results indicate that trading volume and downside trading volume have different prediction effects for the downside risk in different periods. The trading volume and downside trading volume exhibit much forecasting power in the futures market. However, they show little forecasting power in the spot market.
Keyworddownside realized semi variance stock spot market futures market risk periods forecasting power
DOI10.12973/ejmste/78634
Language英语
Funding ProjectNational Natural Science Foundation of China[71701081] ; National Natural Science Foundation of China[71701176] ; National Natural Science Foundation of China[71171024] ; National Natural Science Foundation of China[71371195] ; National Natural Science Foundation of China[71431008] ; National Natural Science Foundation of China[71471020] ; Philosophy and Social Science Foundation of Jiangsu Provincial Education Department of China[2017SJB0816] ; Humanities and Social Science Youth foundation of Ministry of Education of China[17YJC790008] ; Humanities and Social Science Youth foundation of Ministry of Education of China[17YJC790101] ; Hunan Provincial Natural Science Foundation[2016JJ1001] ; Scientific Research Fund of Hunan Provincial Education Department[15A003] ; China Postdoctoral Science Foundation[2014M550097] ; China Postdoctoral Science Foundation[2015T80144]
WOS Research AreaEducation & Educational Research
WOS SubjectEducation & Educational Research
WOS IDWOS:000417628000073
PublisherISER PUBLICATIONS
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/29254
Collection系统科学研究所
Affiliation1.Jiangnan Univ, Sch Business, Wuxi, Peoples R China
2.Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Hunan, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
4.Xiamen Univ, Collaborat Innovat Ctr Energy Econ & Energy Polic, China Inst Studies Energy Policy, Sch Management, Xiamen, Peoples R China
5.Cent S Univ, Sch Business, Changsha, Hunan, Peoples R China
Recommended Citation
GB/T 7714
He, Zhifang,Huang, Chuangxia,Gong, Xu,et al. Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?[J]. EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION,2017,13(12):8367-8382.
APA He, Zhifang,Huang, Chuangxia,Gong, Xu,Yang, Xiaoguang,&Wen, Fenghua.(2017).Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?.EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION,13(12),8367-8382.
MLA He, Zhifang,et al."Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?".EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION 13.12(2017):8367-8382.
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