Revisiting the empirical linkages between stock returns and trading volume
AbstractThis 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36897.
Date of creation: 03 Feb 2012
Date of revision:
Stock returns; Trading volume; Stock market fluctuations;
Other versions of this item:
- Chen, Shiu-Sheng, 2012. "Revisiting the empirical linkages between stock returns and trading volume," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1781-1788.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
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