IDEAS home Printed from https://ideas.repec.org/p/zbw/esprep/344189.html

An Empirical Analysis of the Causal Relationship Between Stock Prices and Trading Volume: Evidence from Stock Splits on African Stock Exchanges

Author

Listed:
  • Bathily, Mouhammad
  • Mbengue, Mohamed Lamine

Abstract

This paper investigates the causal relationship between trading volume and stock price around stock splits in African stock markets, which are characterized by low liquidity. The sample comprises 223 split stocks listed on seven exchanges (BRVM, Egypt, Morocco, Mauritius, Nigeria, South Africa, Tunisia) over the 2014–2024 period. We combine linear Granger (1969) causality tests with the nonlinear causality test of Diks & Panchenko (2006), after a BDS test confirming nonlinear dependence. Before the split, volume predicts price: linearly in the BRVM and Tunisia, and nonlinearly in Egypt, Tunisia and South Africa (at the 5% significance level). After the split, the relationship is reconfigured: price becomes predictive of volume, particularly in the BRVM, Tunisia, South Africa and Mauritius, while Morocco displays bidirectional causality (at the 5% significance level). These findings suggest that, once a stock is split, investors become sensitive to price levels, which affects the tradability of the security. Managers should therefore use stock splits carefully and target an optimal price range.

Suggested Citation

  • Bathily, Mouhammad & Mbengue, Mohamed Lamine, 2026. "An Empirical Analysis of the Causal Relationship Between Stock Prices and Trading Volume: Evidence from Stock Splits on African Stock Exchanges," EconStor Preprints 344189, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:344189
    DOI: 10.20944/preprints202610.1507.v1
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/344189/1/Draft_causality.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.20944/preprints202610.1507.v1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • 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
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:esprep:344189. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/zbwkide.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.