Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/32475
Title: The dynamic relationship between stock returns and trading volume : domestic and cross-country evidence
Authors: Lee, BS
Rui, OM
Keywords: Spillover
Trading volume
VAR
Issue Date: 2002
Publisher: Elsevier
Source: Journal of banking and finance, 2002, v. 26, no. 1, p. 51-78 How to cite?
Journal: Journal of banking and finance 
Abstract: This paper examines the dynamic relations - causal relations and the sign and magnitude of dynamic effects - between stock market trading volume and returns (and volatility) for both domestic and cross-country markets by using the daily data of the three largest stock markets: New York, Tokyo, and London. Major findings are as follows: First, trading volume does not Granger-cause stock market returns on each of three stock markets. Second, there exists a positive feedback relationship between trading volume and return volatility in all three markets. Third, regarding the cross-country relationships, US financial market variables, in particular US trading volume, contains an extensive predictive power for UK and Japanese financial market variables. Fourth, sub-sample analyses show evidence of stronger spillover effects after the 1987 market crash and an increased importance of trading volume as an information variable after the introduction of options in the US and Japan.
URI: http://hdl.handle.net/10397/32475
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/S0378-4266(00)00173-4
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