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

doi:10.12973/ejmste/78634

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 系统科学研究所

	Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?
	He, Zhifang 1; Huang, Chuangxia 2,3; Gong, Xu 4; Yang, Xiaoguang3 ; Wen, Fenghua 5
刊名	EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION
	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
DOI	10.12973/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
出版者	ISER PUBLICATIONS
WOS记录号	WOS:000417628000073
内容类型	期刊论文
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.