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The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach

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  • Gupta, Suman
  • Das, Debojyoti
  • Hasim, Haslifah
  • Tiwari, Aviral Kumar

Abstract

This paper revisits the relationship between market returns and trading volume in a time-frequency domain using a wavelet-based vector autoregression approach. Over 15 years of almost concurrent data from two major emerging stock markets – China and India – are considered for analysis. The relationship is found to vary across different time horizons. In addition, we report that both Chinese and Indian markets depict the artifact of efficiency in the short to medium run. However, markets become inefficient in the longest time horizon studied.

Suggested Citation

  • Gupta, Suman & Das, Debojyoti & Hasim, Haslifah & Tiwari, Aviral Kumar, 2018. "The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach," Finance Research Letters, Elsevier, vol. 27(C), pages 91-98.
  • Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:91-98
    DOI: 10.1016/j.frl.2018.02.018
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    References listed on IDEAS

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    1. repec:spr:decisn:v:45:y:2018:i:3:d:10.1007_s40622-018-0185-9 is not listed on IDEAS

    More about this item

    Keywords

    Wavelet; Trading volume; Market returns; Time–frequency domain;

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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