The dynamic relationship between stock returns and trading volume

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We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from to The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns.

Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets. Copyright by MIT Press. To our knowledge, this item is not available for download. To find whether it is available, there are three options: Check below under "Related research" whether another version of this item is available online.

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the dynamic relationship between stock returns and trading volume

Bibliographic Info Article provided by Eastern Finance Association in its journal The Financial Review. References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Clark, Peter K, Volume versus GARCH Effects ," Journal of FinanceAmerican Finance Association, vol.

Morgan, I G, Granger, C W J, Nelson, Daniel B, A New Approach ," EconometricaEconometric Society, vol. Karpoff, Jonathan M, The Role of Volume ," Journal of FinanceAmerican Finance Association, vol. Rogalski, Richard J, Implications for the Mixture-of-Distributions Hypothesis ," EconometricaEconometric Society, vol.

Evidence from Futures Markets ," Journal of Financial and Quantitative AnalysisCambridge University Press, vol. Hua He and Jiang How to use forex factory news. An Application of Transactions Time and Subordinated Stochastic Models ," Journal of Financial and Quantitative AnalysisCambridge University Press, vol.

The dynamic relationship between stock returns and trading volume : domestic and cross-country evidence | PolyU Institutional Research Archive

Copeland, Thomas E, A Survey ," Journal of Financial and Quantitative AnalysisCambridge University Press, vol. Andersen, Torben G, An Information Flow Interpretation of Stochastic Volatility ," Journal of FinanceAmerican Finance Association, vol.

Engle, Robert F, Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. Lists This item is not the dynamic relationship between stock returns and trading volume on Wikipedia, on a reading list or among the top items on IDEAS.

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Please note that corrections may take a couple of weeks to filter through the various RePEc services. IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! The Dynamic Relation between Stock Returns, Trading Volume, and Volatility. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

Dynamic Relationship between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand: Does the US Subprime Crisis Matter? by Komain Jiranyakul :: SSRN

Chen, Gong-meng Firth, Michael Rui, Oliver M. Article provided by Eastern Finance Association in its journal The Financial Review. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window.

References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.

Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Access and download statistics. When requesting a correction, please mention this item's handle: Wiley-Blackwell Digital Licensing or Christopher F.

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