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Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach

Author

Listed:
  • Cathy Ning

    (Department of Economics, Ryerson University)

  • Tony S. Wirjanto

    (Department of Economics, University of Waterloo)

Abstract

A copula approach is adopted to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that the return-volume dependence is significant and asymmetric at extremes for all six East-Asian markets. In particular extremely high returns (large gains) tend to be associated with extremely large trading volumes, but only marginal (extremely small) returns tend to be related to either large or small volumes.

Suggested Citation

  • Cathy Ning & Tony S. Wirjanto, 2008. "Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach," Working Papers 08009, University of Waterloo, Department of Economics.
    • Handle: RePEc:wat:wpaper:08009
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Return-volume dependence; Extreme returns; Copulas; Tail dependence;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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