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Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?

文献类型：期刊论文

作者He, Zhifang1; Huang, Chuangxia2,3; Gong, Xu4; Yang, Xiaoguang3; Wen, Fenghua5
刊名EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION
出版日期2017-12-01
卷号13期号:12页码:8367-8382
关键词downside realized semi variance stock spot market futures market risk periods forecasting power
ISSN号1305-8215
DOI10.12973/ejmste/78634
英文摘要This 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.
资助项目National 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研究方向Education & Educational Research
语种英语
WOS记录号WOS:000417628000073
出版者ISER PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/29253]  
专题系统科学研究所
通讯作者Huang, Chuangxia
作者单位1.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
推荐引用方式
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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