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The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries

Author

Listed:
  • Zeren, Feyyaz

    (Namık Kemal University)

  • Konuk, Filiz

    (Sakarya University)

Abstract

In this study, the nexus between trading volume stock prices has been examined using panel causality test developed by Dumitrescu-Hurlin (2012) in OECD countries. As a result of a study which 12 countries are tested and monthly data of total 100 terms, it has stated that the causality from stock market index to trading volume. While this study shows that the positive or negative changes in the stock prices create trading volume on stock markets, it is clearly seen that trading volume doesn’t affect the stock prices. In this situation, it can be said that positive feedback hypothesis is valid for markets in this analysis. According to these findings efficient market hypothesis is valid for these stock markets.

Suggested Citation

  • Zeren, Feyyaz & Konuk, Filiz, 2016. "The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 21-29, January.
    • Handle: RePEc:ris:buecrj:0211
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    More about this item

    Keywords

    Stock Price; Trading Volume; Panel causality; Positive Feedback Hypothesis; OECD;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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