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Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data

Author

Listed:
  • Piotr Gurgul

    (AGH University of Science and Technology, Cracow, Poland)

  • Robert Syrek

    (Jagiellonian University, Poland)

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 and five from theWarsaw Stock Exchange. Taking into account high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. The paper presents some patterns of causal and other relationships between stock returns, realized volatility and expected and unexpected trading volume. There is a 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. They did not find causality running in the opposite direction. In addition, the existence of fractional cointegration was examined. Despite the equality of the long memory parameters of realized volatility and trading volumes, they do not move together in the long term horizon.

Suggested Citation

  • Piotr Gurgul & Robert Syrek, 2013. "Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 11(4 (Winter), pages 353-373.
    • Handle: RePEc:mgt:youmgt:v:11:y:2013:i:4:p:353-373
    as

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    File URL: http://www.fm-kp.si/zalozba/ISSN/1581-6311/11_353-373.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    realized volatility; trading volume; dynamic interrelations; copulas; fractional cointegration;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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