Can Market Volume Help In Predicting Share Market Volatility?

This book explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris BrookThe volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activitys (1998).The results of this study project indicate that augmenting models of volatility with measures of lagged volume leads only to fairly small improvements in forecasting performance. The report also shows that the Johannesburg Stock Exchange is vulnerable to financial turmoil in other major markets.

Autorentext

I was born on March 18,1971 and obtanied an BBA Degree (Cum Laude) in Accounting from the University of Liberia in 1999. I am currently serving as the Assistant Director of Finance Department at the Central Bank of liberia.I also hold an MBA Degree from the University of Stellenbosch Business School and is married with a son.