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Extreme return-volume dependence in East-Asian stock markets: A copula approach

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  • Ning, Cathy
  • Wirjanto, Tony S.

Abstract

A copula approach is used to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that there is significant and asymmetric return-volume dependence at extremes for these markets. In particular, extremely high returns (large gains) tend to be associated with extremely large trading volumes, but extremely low returns (big losses) tend not to be related to either large or small volumes.

Suggested Citation

  • Ning, Cathy & Wirjanto, Tony S., 2009. "Extreme return-volume dependence in East-Asian stock markets: A copula approach," Finance Research Letters, Elsevier, vol. 6(4), pages 202-209, December.
  • Handle: RePEc:eee:finlet:v:6:y:2009:i:4:p:202-209
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    1. Simon Gervais & Ron Kaniel & Dan Mingelgrin, "undated". "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research.
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    Cited by:

    1. repec:eee:phsmap:v:512:y:2018:i:c:p:1009-1018 is not listed on IDEAS
    2. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
    3. 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.
    4. Medovikov, Ivan, 2014. "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, vol. 11(4), pages 319-325.
    5. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
    6. repec:eee:empfin:v:45:y:2018:i:c:p:212-227 is not listed on IDEAS
    7. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
    8. Ezzat, Hassan & Kirkulak, Berna, 2014. "Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)," MPRA Paper 61160, University Library of Munich, Germany.
    9. Muhammad Naeem & Hao Ji & Brunero Liseo, 2014. "Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(2), pages 1-20.
    10. Sun, Changyou, 2013. "Price variation and volume dynamics of securitized timberlands," Forest Policy and Economics, Elsevier, vol. 27(C), pages 44-53.
    11. Medovikov, Ivan, 2016. "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 27-40.
    12. Atskanov, Isuf, 2015. "Dynamic optimization of an investment portfolio on European stock markets using pair copulas," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 40(4), pages 84-105.
    13. repec:eee:quaeco:v:69:y:2018:i:c:p:56-69 is not listed on IDEAS
    14. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
    15. Gloria Gonzalez-Rivera & Wei Lin, 2016. "Extreme Returns and Intensity of Trading," Working Papers 201607, University of California at Riverside, Department of Economics.
    16. repec:voj:journl:v:64:y:2017:i:1:p:45-59 is not listed on IDEAS

    More about this item

    Keywords

    Return-volume dependence Extreme returns Copulas Tail dependence;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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