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Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets

Author

Listed:
  • Emilio Rojas Olea

    (Universidad Técnica Federico Santa María)

  • Werner Kristjanpoller Rodríguez

    (Universidad Santa María)

Abstract

This paper examines the relationship between daily returns and trading volumes using the Granger causality test and, additionally, the day-of-the-week effect in the main Latin American stock markets for the period 1998-2014. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. This study utilizes heteroskedastic variance models and vector autoregression (VAR). Results indicate the presence of a strong day-of-the-week effect in volume and evidence of causality from stock market return over transaction volumevariation for almost all analyzed markets.

Suggested Citation

  • Emilio Rojas Olea & Werner Kristjanpoller Rodríguez, 2015. "Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 83, pages 9-31, Julio - D.
    • Handle: RePEc:lde:journl:y:2015:i:83:p:9-31
    DOI: 10.17533/udea.le.n83a01
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    More about this item

    Keywords

    price-volume relationship; day-of-the-week effect; emerging markets; Granger causality;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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