Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence
AbstractIn this paper, linear and non-linear 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 non-linear causality between these two series. ARCH-type models are used to examine whether the non-linear 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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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1997.21.
Length: 33 pages
Date of creation: 1997
Date of revision:
Korea; Tests; Stocks;
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