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Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence

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Author Info
Silvapulle, P.
Choi, J.-S.

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Abstract

In this paper, linear and nonlinear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and nonlinear causality between these two series. ARCH-type models are used to examine whether the nonlinear causal relations can be explained by stock returns and volume serving as proxies for information flow in the stochastic process generating volume and stock returns respectively.

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Publisher Info
Paper provided by La Trobe - Department of Economics in its series Papers with number 97.21.

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Length: 33 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:latrob:97.21

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Postal: School of Economics and Commerce, La Trobe University, Bundoora, Victoria, Australia 3089.
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Related research
Keywords: KOREA ; TESTS ; STOCKS;

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Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
G19 - Financial Economics - - General Financial Markets - - - Other

Cited by:
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  1. Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 277-297, December. [Downloadable!] (restricted)
  2. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
  3. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 245-271, September. [Downloadable!] (restricted)
  4. Nevin Yörük & Cumhur Erdem & Meziyet Sema Erdem, 2006. "Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 165-171, May. [Downloadable!] (restricted)
  5. Theophano Patra & Sunil Poshakwale, 2006. "Economic variables and stock market returns: evidence from the Athens stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 16(13), pages 993-1005, September. [Downloadable!] (restricted)
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