Dynamic Relationship between Stock Returns, Trading Volume, and Returns Volatility

An Empirical Investigation from Asian Stock Markets

Bibliographic Data

ID22238191
AuthorsUme Salma Akbar (0000-0001-5774-5968, Sukkur IBA University, corresponding author)
Year2023
Volume7
Issue4
Publication date2023-12-31
Open AccessYes
TypeARTICLE
VenuePakistan Social Sciences Review (JOURNAL)
Journal identifiersISSN: 2664-0422 • E-ISSN: 2664-0430
PublisherFatima Gohar Educational and Welfare Society (PUBLISHER)
DOI10.35484/pssr.2023(7-iv)48
OpenAlexW4389321629
LanguageEN
References cited5

This study aims to investigate the causal relationship between stock returns and stock volume, using the data of eight developing and developed countries of Asia over nine year, including Pakistan, India, Malaysia, China, Japan, South Korea, Hong Kong, and Taiwan (that carry 40 percent share of the world's GDP). By incorporating the bivariate GARCH approach, to examine how stock returns affect trading volume and vice versa. According to the results, there is a contemporary relationship between stock return and trading volume before testing Granger causality; hence, a rise in the market index returns is accompanied by mounting volume, whereas the declining market is accompanied by falling volume. So, the Granger causality predicts the trends among stock markets of sample Asian countries

Autoregressive conditional heteroskedasticity · Bivariate analysis · China · Econometrics · Economics · Emerging markets · Financial economics · Geography · Granger causality · Monetary economics · Statistics · Stock market · Stock market index · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Stock Market Forecasting Methods · Finance

Tools

Open DOIOpen Access