Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/60643
Title: The dynamic relation between stock returns, trading volume, and volatility
Authors: Rui, O
Chen, GM
Firth, M
Keywords: Stock index returns
Trading volume
Volatility
EGARCH
Issue Date: 2001
Publisher: Wiley-Blackwell
Source: Financial review, 2001, v. 36, no. 3, p. 153-174 How to cite?
Journal: Financial review 
Abstract: 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 1973 to 2000. 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.
URI: http://hdl.handle.net/10397/60643
ISSN: 0732-8516
EISSN: 1540-6288
DOI: 10.1111/j.1540-6288.2001.tb00024.x
Appears in Collections:Journal/Magazine Article

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