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Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence

Author

Listed:
  • Param Silvapulle

    (School of Economics, La Trobe University)

  • Jong-Seo Choi

    (School of Economics, La Trobe University)

Abstract

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.

Suggested Citation

  • Param Silvapulle & Jong-Seo Choi, 1997. "Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence," Working Papers 1997.21, School of Economics, La Trobe University.
    • Handle: RePEc:trb:wpaper:1997.21
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    Keywords

    Korea; Tests; Stocks;
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