Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence
In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and non-linear causality between these two series. ARCH-type models are used to examine whether the non-linear causal relations can be explained by stock returns and volume serving as proxies for information flow in the stochastic process generating volume and stock returns respectively.
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|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.latrobe.edu.au/economics|
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