IDEAS home Printed from https://ideas.repec.org/a/agh/journl/v13y2013p21-44.html
   My bibliography  Save this article

The testing of causal stock returns-trading volume dependencies with the aid of copulas

Author

Listed:
  • Henryk Gurgul

    () (AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics)

  • Roland Mestel

    () (University of Applied Sciences Joanneum in Graz, Department of Banking and Insurance)

  • Robert Syrek

    () (Jagiellonian University in Cracow, Institute of Economics and Management)

Abstract

This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. It is worth noting that these tests can be used in general settings since there is no restrietion on the dimension of the data. The parameter which must be set up for the testing procedure is a bandwidth. It is necessary for estimation of the nonparametric copula. The paper presents some patterns of causal relationships between stock returns, realized volatility and expected and unexpected trading volume. There is linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. Therefore, a knowledge of past stock returns can improve forecasts of expected trading volume. They did not find causality running in the opposite direction.

Suggested Citation

  • Henryk Gurgul & Roland Mestel & Robert Syrek, 2013. "The testing of causal stock returns-trading volume dependencies with the aid of copulas," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 13, pages 21-44.
  • Handle: RePEc:agh:journl:v:13:y:2013:p:21-44
    as

    Download full text from publisher

    File URL: http://www.managerial.zarz.agh.edu.pl/EM_on_line/Managerial%20Economics%2013%20%282013%29.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Wagner, Joachim, 1994. "The Post-entry Performance of New Small Firms in German Manufacturing Industries," Journal of Industrial Economics, Wiley Blackwell, vol. 42(2), pages 141-154, June.
    2. Jovanovic, Boyan & MacDonald, Glenn M, 1994. "The Life Cycle of a Competitive Industry," Journal of Political Economy, University of Chicago Press, vol. 102(2), pages 322-347, April.
    3. Paolo Angelini & Andrea Generale, 2008. "On the Evolution of Firm Size Distributions," American Economic Review, American Economic Association, vol. 98(1), pages 426-438, March.
    4. Pei-Chou Lin & Deng-Shing Huang, 2008. "Technological Regimes and Firm Survival: Evidence Across Sectors and Over Time," Small Business Economics, Springer, vol. 30(2), pages 175-186, February.
    5. Mata, Jose & Portugal, Pedro & Guimaraes, Paulo, 1995. "The survival of new plants: Start-up conditions and post-entry evolution," International Journal of Industrial Organization, Elsevier, vol. 13(4), pages 459-481, December.
    6. C. Mirjam van Praag, 2003. "Business Survival and Success of Young Small Business Owners," Tinbergen Institute Discussion Papers 03-050/3, Tinbergen Institute.
    7. Acs, Zoltan J. & Armington, Catherine, 2004. "The impact of geographic differences in human capital on service firm formation rates," Journal of Urban Economics, Elsevier, vol. 56(2), pages 244-278, September.
    8. Alcina Nunes & Elsa Sarmento, 2010. "Business Demography Dynamics In Portugal: A Non-Parametric Survival Analysis," GEE Papers 0022, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2010.
    9. Geroski, P. A., 1995. "What do we know about entry?," International Journal of Industrial Organization, Elsevier, vol. 13(4), pages 421-440, December.
    10. Thomas Astebro & Irwin Bernhardt, 1999. "The Winner's Curse of Human Capital," Working Papers 99-5, Center for Economic Studies, U.S. Census Bureau.
    11. Agarwal, Rajshree & Audretsch, David B, 2001. "Does Entry Size Matter? The Impact of the Life Cycle and Technology on Firm Survival," Journal of Industrial Economics, Wiley Blackwell, vol. 49(1), pages 21-43, March.
    12. Audretsch, David B & Mahmood, Talat, 1995. "New Firm Survival: New Results Using a Hazard Function," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 97-103, February.
    13. Paloma López-García & Sergio Puente, 2006. "Business demography in Spain: determinants of firm survival," Working Papers 0608, Banco de España;Working Papers Homepage.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agh:journl:v:13:y:2013:p:21-44. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lukasz Lach). General contact details of provider: http://edirc.repec.org/data/wzaghpl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.