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Revisiting the empirical linkages between stock returns and trading volume

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  • Chen, Shiu-Sheng

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 36 (2012)
Issue (Month): 6 ()
Pages: 1781-1788

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Handle: RePEc:eee:jbfina:v:36:y:2012:i:6:p:1781-1788

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Keywords: Stock returns; Trading volume; Stock market fluctuations;

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Cited by:
  1. Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 144-159.

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