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Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach

Author

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  • Muhammad Naeem

    (Sapienza Universita di Roma, Italy)

  • Hao Ji

    (Sapienza Universita di Roma, Italy)

  • Brunero Liseo

    (Sapienza Universita di Roma, Italy)

Abstract

We explore the potential dependence among different Asian stock markets, using several different statistical models. Extreme return-volume dependence in Hong Kong Seng Index, Bombay Stock Exchange, Indonesia Composite Index and Bursa Malaysia has been examined by using FIGARCH-Copula and GARCH-Copula approach. We have used Gaussian, Student-t, Frank, Clayton, Survival Clayton and Gumbel copulas. Based on Akaike information criterion (AIC), we found that using FIGARCH model for return series improves the results of copula parameter estimation. According to our finding, Hong Kong and Indian stock indices showed weak upper tail dependence between return and volume. Further, we have found that the extremely low returns for Malaysia and Indonesia stock indices are followed by high volumes, providing evidence of leverage effect. Our investigation shows that Malaysia and Indonesia stock indices are sensitive to bad news rather than good news.

Suggested Citation

  • Muhammad Naeem & Hao Ji & Brunero Liseo, 2014. "Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(2), pages 1-20.
    • Handle: RePEc:ejn:ejefjr:v:2:y:2014:i:2:p:1-20
    DOI: 10.15604/ejef.2014.02.02.001
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    References listed on IDEAS

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    2. Naeem, Muhammad & Bouri, Elie & Boako, Gideon & Roubaud, David, 2020. "Tail dependence in the return-volume of leading cryptocurrencies," Finance Research Letters, Elsevier, vol. 36(C).

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