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GMM-based testing procedures of the mixture of distributions model

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  • Ainhoa Zarraga

Abstract

A direct test of the mixture-of-distributions model is conducted using daily Spanish stock return and trading volume for the period April 1990 to January 1996. Both the standard mixture-of-distributions model of Tauchen and Pitts (1983) and the modified version proposed by Andersen (1996) are estimated by GMM and tested using the overidentified restrictions. The results reject the models, that is, the variables are not related due to a common dependence on a factor, namely the flow of information, according to the specifications of the mixture models considered.

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  • Ainhoa Zarraga, 2003. "GMM-based testing procedures of the mixture of distributions model," Applied Financial Economics, Taylor & Francis Journals, vol. 13(11), pages 841-848.
    • Handle: RePEc:taf:apfiec:v:13:y:2003:i:11:p:841-848
    DOI: 10.1080/0960310032000129608
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    References listed on IDEAS

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    4. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.

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