A note on price-volume dynamics in an emerging stock market

Başçı, Erdem; Ozyildirim, Suheyla; Aydoǧan, Kürşat

doi:10.1016/0378-4266(95)00003-8

Cited by 41 publications

(21 citation statements)

References 9 publications

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“…This conclusion was found in Latin America stock markets as reported by Saatccioglu and Starks 8 and Christofi and Pericli, 41 in the Swedish stock market as reported by Säfvenblad,10 in the New York stock exchange as reported by Gallant et al, 13 in the Taiwan stock market as reported by Hsin et al, 15 in selected developed stock markets as reported by Sabri,18 in selected emerging stock markets as reported by Sabri 17 and De Santis and Imrohorglu, 42 in the Shanghai stock exchange as reported by Song et al 16 and Mei et al, 12 and in the Turkish stock market as reported by Basci et al 43 The question arises here as to the major factors that may drive the Arab stock market to volume volatility. In general, the trading volatility may be associated to the transmission impact from other major markets and to the volatility spillovers concept from leading stock markets.…”

Section: Discussionmentioning

confidence: 91%

The impact of trading volume on stock price volatility in the Arab economy

Sabri

2008

J Deriv Hedge Funds

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This study intends to examine the price-volume movements in the Arab stock markets, in order to determine the impact of changes in trade volume on the volatility of stock prices as expressed by the unified AMF stock price index. The research covers a sample of eight out of the 15 Arab stock markets included in the Arab Monetary Fund database, using monthly data from 1994 to 2006. The study found that there is an increase in both trading volume and stock price volatility, which may be considered a recent phenomenon in the majority of the Arab stock markets. The study also found that the volume-stock price movements are significantly integrated for all selected markets, while the highest (to lowest) correlation coefficient between volume and stock price movement was found in the Saudi stock market, Amman stock market, Muscat stock market, and Kuwait stock market (in that order). Finally, the correlation between volume and price movement is higher in the stock markets of the oil Arab states compared to the nonoil Arab states.

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Section: Discussionmentioning

confidence: 91%

The impact of trading volume on stock price volatility in the Arab economy

Sabri

2008

J Deriv Hedge Funds

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“…Basci, Ozyildinm, and Aygodan (1996) develop a stochastic model with restrictions on short sales and risk neutral agents having heterogeneous expectations. Data collected from the Istanbul Securities Exchange during their sample period from January 1988 to March 1991 fit their model's institutional characteristics well.…”

Section: Prior Research and Testable Implicationsmentioning

confidence: 99%

Trading Volume and Market Volatility: Developed versus Emerging Stock Markets

Girard

Biswas

2007

The Financial Review

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We investigate the relation between volatility and volume in 22 developed markets and 27 emerging markets. Compared to developed markets, emerging markets show a greater response to large information shocks and exhibit greater sensitivity to unexpected volume. We find a negative relation between expected volume and volatility in several emerging markets, which can be attributed to the relative inefficiency in those markets. Previous research reports that the persistence in volatility is not eliminated when lagged or contemporaneous trading volume is considered. Our findings show that, when volume is decomposed into expected and unexpected components, volatility persistence decreases. Copyright 2007, The Eastern Finance Association.

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“…The relatively small number of studies which have examined this issue for emerging markets have focused on weekly or monthly data (see Moosa and Al-Loughani 1995, Saacioglu and Starks 1998, Basci et al 1996, Gündüz and Hatemi-J 2005. In contrast, our study uses daily data because the short horizon data are more suitable to test causal and dynamic relationships between return, volatility and trading volume.…”

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confidence: 94%