Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

Pisedtasalasai, Anirut; Gunasekarage, Abeyratna

doi:10.1007/s10690-008-9063-3

Cited by 46 publications

(40 citation statements)

References 51 publications

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“…More recent studies pay more attention to different kinds of lag or inter-day relations between stock returns and trading volumes (e.g., Chen et al 2001;Khan and Rizwan 2008;Lee and Rui 2002;Pisedtasalasai and Gunasekarage 2007), and introduce additional relevant factors into their analysis. Saatccioglu and Starks (1998) find that volume leads stock price changes in four out of the six emerging markets.…”

Section: Stock Trading Volumes and Their Connection To Stock Returnsmentioning

confidence: 99%

“…Namely, I consider lagged stock returns (e.g., following the findings by Chen et al 2001;Khan and Rizwan 2008;Lee and Rui 2002;Pisedtasalasai and Gunasekarage 2007); historical performance of the stock prices, including both returns and their volatility (e.g., following the findings by Griffin et al 2007;Caginalpa and Desantisa 2011;Remorov 2014); companies' earnings announcements (e.g., following the findings by Holthausen and Verrecchia 1990;Barron et al 2005;Garfinkel and Sokobin 2006;Bamber et al 2011;Israeli 2015); and dividend payments (e.g., following the findings by Lakonishok and Vermaelen 1986;Tran and Mai 2015;Ndjadingwe and Radikoko 2015).…”

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confidence: 99%

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The Effect of Stock Return Sequences on Trading Volumes

Kudryavtsev

2017

IJFS

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The present study explores the effect of the gambler's fallacy on stock trading volumes. I hypothesize that if a stock's price rises (falls) during a number of consecutive trading days, then the gambler's fallacy may cause at least some of the investors to expect that the stock's price "has" to subsequently fall (rise), and thus, to increase their willingness to sell (buy) the stock, resulting in a stronger degree of disagreement between the investors and a higher-than-usual stock trading volume on the first day when the stock's price indeed falls (rises). Employing a large sample of daily price and trading volume data, I document that following relatively long sequences of the same-sign stock returns, on the days when the sign is reversed, the trading activity in the respective stocks is abnormally high. Moreover, average abnormal trading volumes gradually and significantly increase with the length of the preceding return sequence. The effect is slightly more pronounced following the sequences of negative stock returns, and remains significant after controlling for other potentially influential factors, including contemporaneous and lagged actual and absolute stock returns, historical stock returns and volatilities, and company-specific events, such as earnings announcements and dividend payments.

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Section: Stock Trading Volumes and Their Connection To Stock Returnsmentioning

confidence: 99%

mentioning

confidence: 99%

The Effect of Stock Return Sequences on Trading Volumes

Kudryavtsev

2017

IJFS

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“…There are studies that show one way relationship between volume and return series i.e either volume causes return or return causes volume. The studies of Pyun et.al (2000), Brailsford (1996), Lange (1999), Bhagat and Bhatia (1996), Ravi Kant (2011), Saaticioglu and Starks (1998), Pisedtasalasai and gunasekarage (2008), Ravindra andWang (2006), Chen et.al (2001) studies submitted the similar results. By examining the six Latin American stock markets, Saatcioglue and Starks (1998) found a unidirectional relationship between trading volume changes and price changes.…”

Section: Literature Reviewmentioning

confidence: 70%

“…However, past trading volume change is negatively related to stock returns. The study conducted by Pisedtasalasai and Gunasekarage (2008), using the technique of VAR and GARCH in five countries that includes Indonesia, Malaysia, the Philippines, Singapore and Thailand submitted the presence of unidirectional causality in four countries except the Philippines. It shows that causality runs from returns to volume and no results could be derived in the Philippines.…”

Section: Literature Reviewmentioning

confidence: 99%

Study of Trading Volume and Stock Return Volatility at S&P CNX Nifty

Yadav¹,

Aggarwal²,

Khurana³

2018

APEEJAY

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Returns and volume are the two major pillars of the stock market which have drawn the attention of various analyst and economist over a period of time. Various studies have been conducted that studied the relationship between these variables. The present study investigates about these two dimensions. The daily closing data of S&P CNX Nifty has been studied starting from April 2001 to March 2011 for a period of ten years. The data has been checked for its stationarity by using Augmented Dickey Fuller Test. Further to check for the causal relationship between the variables, Granger Causality Test is used. Autoregressive Conditional Heteroskedasticity (ARCH) and General Autoregressive Conditional Heteroskedasticity (GARCH) models are applied to capture the effect of the changes in the past on the volatility of the stock market returns. The results show that causality run one way between the variables. The return causes volume but volume does not granger cause the return. Further, the result of ARCH and GARCH model shows that changes in the past is having a positive and significant effect on the return series. The results will thus provide guidance to the investors and brokers in taking rational decision with regards to the return and volume series. Keywords: Augmented Dickey Fuller, Granger Causality Test, ARCH, GARCH Model, S&P CNX Nifty IntroductionThe economic development of any country can be evaluated with the help of its capital market escalation. One can judge the growth of capital market through trading volume and stock market returns because that possesses the explanatory power to provide a transparent map of the capital market. Positive correlation has been seen in stock market returns and volume of trade in previous studies. Therefore, investors, policy makers, portfolio managers, brokers, academicians and regulators are intensively focused upon understanding the reasons for the volatility in stock returns and its relationship to trading volume. Volatility in stock market index affects the stock returns and volume of trading in the stock market. In spite of headwinds faced on account of a slow global economy, India's GDP is amongst the highest in the world at 7.6% which shows that India is on right track. The GDP of any country is the index of their growth of economic development where capital market of the country plays a vital role in it. The intensification of capital market can be judged by stock market returns and trading volume as it possesses the explanatory power that provide a transparent map of the capital market. In the capital market, stock market returns and volume of trade are influenced by systematic risk. Karpoff (1987) cited few reasons for discussing price-volume relation. First, the relationship between price-volume forms the basis of technical analysis and indicates about the bullish and bearish pattern of trend in the market. Technical and fundamental analysis of the specific stock affects the volatility in the stock market. In technical indicators, investor look after the re...

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“…In addition, nonlinear and linear causality tests seem to produce the similar results. Using daily data during 1990 and 2004, Pisedtasalasai and Gunasekarage (2007) examine the dynamic relationships among stock returns, return volatility and trading volume for Indonesia, Malaysia, Philippines, Singapore and Thailand. They find that stock returns in these economies are important in predicting their future dynamics as well as those of the trading volume, but trading volume has a very limited impact on future dynamics of stock returns.…”

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confidence: 99%

Dynamic Relationship between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand: Does the US Subprime Crisis Matter?

Jiranyakul

2016

SSRN Journal

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Abstract:Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The results may give understanding on how investors make their trading decisions that can affect portfolio adjustment.

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Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

Abstract: Stock returns, Trading volume, Return volatility, VAR, EGARCH,

Cited by 46 publications

References 51 publications

The Effect of Stock Return Sequences on Trading Volumes

The Effect of Stock Return Sequences on Trading Volumes

Study of Trading Volume and Stock Return Volatility at S&P CNX Nifty

Dynamic Relationship between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand: Does the US Subprime Crisis Matter?

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