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Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

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  • Anirut Pisedtasalasai
  • Abeyratna Gunasekarage

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  • Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 277-297, December.
    • Handle: RePEc:kap:apfinm:v:14:y:2007:i:4:p:277-297
    DOI: 10.1007/s10690-008-9063-3
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    Cited by:

    1. Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 144-159.
    2. Godfrey Akileng & Abbot Anthony Ogwang & Charles Ssendyona, 2018. "Determinants of performance of securities exchanges in East Africa," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-3.
    3. Weihong HUANG & Wanying Wang, 2012. "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series 1209, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    4. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    5. Tazhikul Mashirova & Karlygash Tastanbekova & Murat Nurgabylov & Gulnar Lukhmanova & Kundyz Myrzabekkyzy, 2023. "Analysis of the Relationship between the Highest Price and the Trading Volume of the Energy Company Shares in Kazakhstan with Frequency Domain Causality Method," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 22-27, July.
    6. Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
    7. Daouda Lawa tan Toe & Salifou Ouedraogo, 2022. "Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 429-444, September.
    8. Sifat, Imtiaz Mohammad & Thaker, Hassanudin Mohd Thas, 2020. "Predictive power of web search behavior in five ASEAN stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    9. Chaido Dritsaki, 2014. "The Dynamic Relationship between Stock Volatility and Trading Volume from the Athens Stock Exchange," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 3(3), pages 152-165.
    10. Kerr Hatrick & Mike So & S. Chung & R. Deng, 2011. "Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 291-317, September.
    11. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
    12. Panpan Wang & Tsungwu Ho & Yishi Li, 2020. "The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility," Sustainability, MDPI, vol. 12(8), pages 1-17, April.
    13. 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.
    14. Ngene, Geoffrey M. & Mungai, Ann Nduati, 2022. "Stock returns, trading volume, and volatility: The case of African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
    15. Jaber Yasmina, 2020. "Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(6), pages 318-336, December.
    16. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021. "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4441-4461, July.
    17. Andrey Kudryavtsev, 2019. "Psychological Aspects of Stock Returns Accompanied by High Trading Volumes," Journal of Risk & Control, Risk Market Journals, vol. 6(1), pages 1-17.
    18. Osama El Ansary & Mona Atuea, 2017. "Testing the Effect of Technical Analysis Strategies on Achieving Abnormal Return: Evidence from Egyptian Stock Market," Accounting and Finance Research, Sciedu Press, vol. 6(2), pages 1-26, May.
    19. Andrey Kudryavtsev, 2019. "The Effect Of Trading Volumes On Stock Returns Following Large Price Moves," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(220), pages 85-116, January –.
    20. Suman Gupta & Vinay Goyal & Vinay Kumar Kalakbandi & Sankarshan Basu, 2018. "Overconfidence, trading volume and liquidity effect in Asia’s Giants: evidence from pre-, during- and post-global recession," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(3), pages 235-257, September.
    21. Shyh-Wei Chen, 2008. "Untangling the nexus of stock price and trading volume: evidence from the Chinese stock market," Economics Bulletin, AccessEcon, vol. 7(15), pages 1-16.
    22. Andrey Kudryavtsev, 2017. "The Effect of Stock Return Sequences on Trading Volumes," IJFS, MDPI, vol. 5(4), pages 1-15, October.
    23. Fenghua, Wen & Xiaoguang, Yang, 2009. "Empirical study on relationship between persistence-free trading volume and stock return volatility," Global Finance Journal, Elsevier, vol. 20(2), pages 119-127.
    24. Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

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