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Changes in the dynamic relation between the prices and the trading volume from the Bucharest stock exchange

Author

Listed:
  • Dumitriu, Ramona
  • Stefanescu, Razvan
  • Nistor, Costel

Abstract

This paper explores the relation between the prices and the trading volume from the Bucharest Stock Exchange. The data employed consist in the daily values from January 2002 to March 2011. We identify some significant changes caused by events such as Romania’s adhesion to the European Union or the effects of the global crisis.

Suggested Citation

  • Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Changes in the dynamic relation between the prices and the trading volume from the Bucharest stock exchange," MPRA Paper 41602, University Library of Munich, Germany, revised 20 Mar 2011.
  • Handle: RePEc:pra:mprapa:41602
    as

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    File URL: https://mpra.ub.uni-muenchen.de/41602/1/MPRA_paper_41602.pdf
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    References listed on IDEAS

    as
    1. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, Oxford University Press, vol. 108(4), pages 905-939.
    2. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-321, March.
    3. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    4. Rogalski, Richard J, 1978. "The Dependence of Prices and Volume," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 268-274, May.
    5. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
    6. Smirlock, Michael & Starks, Laura, 1988. "An empirical analysis of the stock price-volume relationship," Journal of Banking & Finance, Elsevier, vol. 12(1), pages 31-41, March.
    7. Saatcioglu, Kemal & Starks, Laura T., 1998. "The stock price-volume relationship in emerging stock markets: the case of Latin America," International Journal of Forecasting, Elsevier, vol. 14(2), pages 215-225, June.
    8. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.

    More about this item

    Keywords

    Romanian Stock Exchange; Stock Index Volume; Trading Volume Causality;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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