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Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks

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  • Ciner, Cetin

Abstract

We investigate whether trading volume has explanatory power for time variation in CAPM betas as well as returns, for the precious metals mining sector. We show that significant dependencies exist between these variables; however, empirical linkages are only revealed when quantile regression method is employed. The observed dynamics are particularly strong between trading volume and returns. We find that returns from lower (higher) quantiles have a negative (positive) relation with volume. We discuss the consistency of this asymmetric relation with equilibrium volume–return autocorrelation models suggested in prior work.

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  • Ciner, Cetin, 2015. "Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 277-283.
    • Handle: RePEc:eee:finana:v:41:y:2015:i:c:p:277-283
    DOI: 10.1016/j.irfa.2015.01.019
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    2. Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
    3. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    4. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    5. Batten, Jonathan A. & Ciner, Cetin & Kosedag, Arman & Lucey, Brian M., 2017. "Is the price of gold to gold mining stocks asymmetric?," Economic Modelling, Elsevier, vol. 60(C), pages 402-407.
    6. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "A real-time quantile-regression approach to forecasting gold returns under asymmetric loss," Resources Policy, Elsevier, vol. 45(C), pages 299-306.
    7. Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
    8. Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016. "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, vol. 56(C), pages 168-176.

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    More about this item

    Keywords

    Trading volume; Quantile regression; Returns; Beta;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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