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Dynamic relationship between stock return, trading volume, and volatility in the Stock Exchange of Thailand: does the US subprime crisis matter?

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  • Jiranyakul, Komain

Abstract

Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The results may give understanding on how investors make their trading decisions that can affect portfolio adjustment.

Suggested Citation

  • Jiranyakul, Komain, 2016. "Dynamic relationship between stock return, trading volume, and volatility in the Stock Exchange of Thailand: does the US subprime crisis matter?," MPRA Paper 73791, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:73791
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    References listed on IDEAS

    as
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    2. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009. "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
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    More about this item

    Keywords

    Stock return; trading volume; volatility; VAR; subprime crisis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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