Chen, Shiu-Sheng (2012): Revisiting the empirical linkages between stock returns and trading volume.
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This paper investigates whether the empirical linkages between stock returns and trading volume differ over the fluctuations of stock markets, i.e., whether the return–volume relation is asymmetric in bull and bear stock markets. Using monthly data for the S&P 500 price index and trading volume from 1973M2 to 2008M10, strong evidence of asymmetry in contemporaneous correlation is found. As for a dynamic (causal) relation, it is found that the stock return is capable of predicting trading volume in both bear and bull markets. However, the evidence for trade volume predicting returns is weaker.
|Item Type:||MPRA Paper|
|Original Title:||Revisiting the empirical linkages between stock returns and trading volume|
|Keywords:||Stock returns; Trading volume; Stock market fluctuations|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Shiu-Sheng Chen|
|Date Deposited:||24. Feb 2012 15:32|
|Last Modified:||12. Feb 2013 12:30|
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