TY  - JOUR
T1  - Traders and Their Trading on Changing Economic Conditions
AU - Djohanputro, Bramantyo 
JO  - International Business Management
VL  - 10
IS  - 12
SP  - 2337
EP  - 2346
PY  - 2016
DA  - 2001/08/19
SN  - 1993-5250
DO  - ibm.2016.2337.2346
UR  - https://makhillpublications.co/view-article.php?doi=ibm.2016.2337.2346
KW  - Return
KW  -volatility
KW  -trading volume
KW  -TARCH
KW  -crisis period
KW  -non-crisis period
AB  - This study attempts to explore the way stock traders explore the information that may be available in the stock trading volume. They may use current and past stock trading volume together with past returns and daily dummies to understand the current return and, at the same time, current and past trading volume together with past volatility and daily dummies to understand the current volatility. This study employs daily data on two different periods, i.e., crisis period and post or non crisis period. To explore those relationships, TARCH or Threshold Autoregressive Conditional Heteroskedasticity is employed. This study reveals that traders exploit information differently from trading volume toward return and volatility in different periods. They also behave differently to positive against negative information in both periods.
ER  -