Mubarik, Fauzia and Javid, Attiya Yasmin (2009): Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market. Published in: Indian Journal of Finance (November 2009)
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This study examines the causal relationship between stock returns and trading volume and the level of association of information asymmetry with stock return volatility and volume relationship of Pakistan at market level and firm level for the period of July 1998 to December 2008. The results show that in the overall market both market return and market volume influence each other. In case of firm level analysis the evidence indicates that for more stocks return casing volume than volume causing return. The relationship between trading volume and return volatility is analyzed by applying EGARCH model where volume is incorporated as information innovation in the conditional variance equation. The empirical results verify that that there is significant inaction between trading volume and return volatility contemporaneously when volume is integrated in to the conditional variance equation both for overall market and at firm level. The results indicate that the persistence of volatility does not diminish after introducing trading volume in conditional variance for overall market and for most of the stocks. This suggests that return volatility and trading volume are found to follow lead-lag pattern in overall market and in large number of stocks which supports the sequential information arrival hypothesis in case of Pakistani market.
|Item Type:||MPRA Paper|
|Original Title:||Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market|
|Keywords:||Asymmetric information, Causality, EGARCH|
|Subjects:||A - General Economics and Teaching > A1 - General Economics|
|Depositing User:||Attiya Yasmin Javid|
|Date Deposited:||11. Apr 2012 13:33|
|Last Modified:||20. Feb 2013 16:26|
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