Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2011): Changes in the dynamic relation between the prices and the trading volume from the Bucharest stock exchange. Published in: Proceedings of the 18th International Economic Conference – IECS 2011 “Crises after the crisis. Inquiries from a national, European and global perspective” Sibiu, Romania, May 19-20, 2011 , Vol. IV, (17. May 2011): pp. 218-227.
Download (185kB) | Preview
This paper explores the relation between the prices and the trading volume from the Bucharest Stock Exchange. The data employed consist in the daily values from January 2002 to March 2011. We identify some significant changes caused by events such as Romania’s adhesion to the European Union or the effects of the global crisis.
|Item Type:||MPRA Paper|
|Original Title:||Changes in the dynamic relation between the prices and the trading volume from the Bucharest stock exchange|
|English Title:||Changes in the dynamic relation between the prices and the trading volume from the Bucharest stock exchange|
|Keywords:||Romanian Stock Exchange, Stock Index Volume, Trading Volume Causality|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Ramona Dumitriu|
|Date Deposited:||28. Sep 2012 20:13|
|Last Modified:||20. Mar 2015 18:18|
Campbell, J.; Grossman, S.; Wang, J. (1993) Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, Vol. 108, p. 905-939.
Chen, G. M.; Rui, O. M.; Wang, S.S. (2005) The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges, Review of Quantitative Finance and Accounting, Vol. 25, p. 159-182.
Deo, M.; Srinivasan, K.; Devanadhen, K. (2008) The Empirical Relationship between Stock Returns, Trading Volume and Volatility: Evidence from Select Asia-Pacific Stock Market, European Journal of Economics, Finance and Administrative Sciences, Issue: 12.
Epps, T.; Epps, M. (1976) The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis, Econometrica, Vol. 44, p. 305-321.
Gallant, R.; Rossi, P.; Tauchen, G. (1992) Stock prices and volume, Review of Financial Studies, Vol.5, p. 199-242.
Granger, C. (1969) Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica, Vol. 37, 424-438.
Hiemstra, C.; Jones, J.D. (1994) Testing for linear and nonlinear Granger causality in the stock price - volume relation, Journal of Finance 49 (5): p. 1639-1664.
Kamath, R.; Wang, Y. (2006) The Causality between Stock Index Returns and Volumes in the Asian Equity Markets, Journal of International Business Research, Vol.5, p. 63-74.
Kamath, R. (2007) Investigating Causal Relations Between Price Changes and Trading Volume Changes in the Turkish Market, ASBBS E-Journal, Volume 3, No. 1.
Kamath, R. (2008) The Price-Volume Relationship in the Chilean Stock Market, International Business & Economics Research Journal – October, Volume 7, Number 10.
Karpoff, J.M. (1987) The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis, 22 (1): p. 109-126.
Khan, A.; Ahmed, S. (2009) Trading Volume and Stock Return: The Impact of Events in Pakistan on KSE 100 Indexes, International Review of Business Research Papers, Vol. 5 No. 5, September, p. 373-383.
Lee, B-S; Rui, O.M. (2002) The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence, Journal of Banking and Finance, 26 (1): p. 51- 78.
Medeiros, O.; Van Doornik, B. (2008) The Empirical Relationship between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market, Brazilian Business Review, Vol. 5, No. 1, Ian - Apr, p. 1-17.
Rogalski, R. J. (1978), The Dependence of Prices and Volume, Review of Economics and Statistics, Vol. 60, p. 268-274.
Saatcioglu, K.; Starks, L. T. (1998) The stock price-volume relationship in emerging stock markets: The case of Latin America, International Journal of Forecasting, 14, p. 215–225.
Sidra, M.; Shahid, H.; Shakil, A. (2009) Impact of Political Event on Trading volume and Stock Returns: The Case of KSE, International Review of Business Research Papers, Vol. 5 No. 4, June, p. 354-364.
Smirlock, M.; Starks, L. T. (1985) A Further Examination of Stock Price Changes and Transactions Volume, Journal of Financial Research, 8(3), p. 217-225.
Smirlock, M.; Starks, L. T. (1988) An Empirical Analysis of the Stock Price-Volume Relationship, Journal of Banking and Finance, 12(1), p. 31-41.