The priceâ€“volume relationship in Gulf Cooperation Council stock markets
AbstractThis paper examines the empirical relationship among stock return, trading volume and volatility for the seven stock markets that comprise the Gulf Cooperation Council. The dataset includes seven national stock markets for the period spanning from 1 July 2004 to 3 September 2008. Granger causality test was used to explore whether return causes volume or volume causes return. The empirical results of Granger causality tests reveal that returns lead volume in five markets out of the seven markets. The results of the exponential generalised autoregressive conditional heteroskedasticity model provide evidence that shocks persist in the conditional variance, good news have different impact on market volatility than bad news and that the large shocks have large impact on the market volatility for all markets. In addition, the lag volume shows a significant and positive impact on volatility in four markets and no impact in three markets, namely Abu Dhabi, Bahrain and Doha.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Economics and Business Research.
Volume (Year): 3 (2011)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.inderscience.com/browse/index.php?journalID==310
GARCH; generalised autoregressive conditional heteroskedasticity; Arab States; Gulf Cooperation Council; United Arab Emirates; UAE; Bahrain; Saudi Arabia; Kuwait; Qatar; Oman; Persian Gulf; stock exchanges; stock markets; Granger causality test; price volume relationships; VAR; vector autoregression; stock returns; trading volumes; market volatility; Abu Dhabi; Dubai; Muscat; Doha; large shocks; bad news; good news; lag volumes; positive impacts; economics; business research.;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Graham Langley).
If references are entirely missing, you can add them using this form.