Causality in quantiles and dynamic stock return–volume relations

Chuang, Chia-Chang; Kuan, Chung‐Ming; Lin, Hsin-Yi

doi:10.1016/j.jbankfin.2009.02.013

Cited by 248 publications

(167 citation statements)

References 44 publications

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“…Following the work of Chuang, Kuan, and Lin (2009), this study connects stock returns and trading volume through estimating the following quantile regression:…”

Section: Resultsmentioning

confidence: 99%

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Dynamic Return-Volume Relations in the Saudi Stock Market: Evidence from Quantiles Regressions

Alwagdani¹

2015

IJEF

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This paper examines the causality patterns between the lagged trading volume and returns of the Saudi stock market (TASI) for the period from2003:01 to April 2013:05, along with two consecutive sub-periods to account for pre-and post-market collapse of 2006. Using the quantile regression approach, the study finds that the return-volume relations are heterogeneous across quantiles with symmetric tendency across the mean for the full sample period. On the contrary, the study could not support the heterogeneous and symmetric effects for the first sub-sample period. The second sub-sample period is characterized by homogenous across quantiles with statistical evidence of symmetry. Thus, the study concludes that the dependence structure between the lagged volume and subsequent market returns seems to be randomly relying on the chosen period which makes volume unsuitable to be used as explanatory power for returns forecasting.

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“…Following the work of Chuang, Kuan, and Lin (2009), this study connects stock returns and trading volume through estimating the following quantile regression:…”

Section: Resultsmentioning

confidence: 99%

“…7, No. 11;2015 Chuang, Kuan, andLin (2009) investigate the casual relations between daily stock returns and volume of NYSE, S&P 500 and FTSE using quantile regressions. They find some evidence supporting the casual effects of volume on returns that described as heterogeneous across quantiles.…”

Section: Wwwccsenetorg/ijefmentioning

confidence: 99%

Dynamic Return-Volume Relations in the Saudi Stock Market: Evidence from Quantiles Regressions

Alwagdani¹

2015

IJEF

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“…Chuang et al (2009) through adopting quantile regression to investigate the causal relationship between stock trading value and return rate of New York Stock Exchange (NYSE), Standard & Poor 500 (S&P 500), and Financial Times-Stock Exchange 100 (FTSE 100) state that when trading value increases, stock index returns will rise.…”

Section: Use Vector Auto Regression (Var) To Analyze Monthly Data Of mentioning

confidence: 99%

“…The more active stock market trade of a country shows the more prosperous on its economy. Due to this fact, numerous previous studies have explored the factors of affecting stock volatility, including stock trading value (Assogbavi et al, 1995;Saatcioglu and Starks, 1998;Chen et al, 2001;Lee and Rui, 2002;Statman et al, 2006;Xu et al, 2006;Rashid, 2007;Chuang et al, 2009;Chen, 2012) oil price (Jones and Kaul, 1996;Maghyereh and Kandari, 2007;Aloui and Jammazi, 2009;Qinbin et al, 2012;Mollick and Assefa, 2013) manufacturing industry production index (Mohanty et al, 2011) economic prosperity (Fan et al, 2003;Basher and Sadorsky, 2006;Driesprong et al, 2008;Tang et al, 2010) investment inclination (Faff and Brailsford, 1999;Hondroyiannis and Papapetrou, 2001;Henriques and Sadorsky, 2008;Mollick and Assefa, 2013) interest rate (Kagraoka and Moussa, 2013) the total value of import and export prices (Chen et al, 2001) exchange rate (Lyonnet and Werner, 2012) money supply (Eichengreen, 2013;Karras, 2013) price variation (Girardin and Moussa, 2011;Naifar and Dohaiman, 2013) unemployment rate (Nguyen and Bhatti, 2012;Schenkelberg and Watzka, 2013).…”

Section: Introductionmentioning

confidence: 99%

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Hsu

Tsai

2017

Asian Economic and Financial Review

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“…The reasons of macroeconomic character are ordinarily related to the changes in the State budget, interest and inflation rates (Pilinkus and Boguslauskas 2009;Paškevičius and Dubinskas 2009;Wang, Yang and Li 2007). Insurance of investment portfolios, speculative operations on derivative financial instrument markets, risky acquisitions and "bubbles" caused by long-lasting speculations are attributed to microeconomic reasons (Malliaris and Urrutia 1992;Chuang et al 2009;Girdzijauskas et al 2009). And nevertheless, this point of view has received some criticism referring to the impossibility to verify the reliability of the conclusions (Dong and Liu 2007;Roll 1988).…”

Section: Forewordmentioning

confidence: 99%

Alterations in the Financial Markets of the Baltic Countries and Russia in the Period of Economic Downturn / Finansų Rinkų Pokyčiai Baltijos Šalyse Ir Rusijoje Ekonominio Nuosmukio Laikotarpiu

Dubinskas

Stungurienė

2010

Technological and Economic Development of Economy

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The present article analyses the alternations in the causality in the financial markets during the 2008–2009 financial crisis with a clear focus on the changes and developments in the financial markets of the Baltic States and Russia in the period starting from 2008. The authors have advanced a hypothesis that the research methods of trends of an abrupt plunge and subsequent stabilistation of equity prices that were clearly discernable during the 1987 crisis are also pointfull for the current financial crisis. The present research was conducted on the basis of the following assumptions: both crises affected financial markets of several nations; a characteristic feature for the inception of the crises is an abrupt fall in equity prices; indications of stabilisation in financial markets become observable before financial experts conclude the end of the financial crisis. To confirm the hypothesis on the similarities of the general trends during the two major international financial crisis, the authors employed empiric tests developed on the basis of Granger causality tests. Based on the precedent survey of the financial crisis of 1987 (Malliaris and Urrutia 1992), the authors of the present article chose to use the Granger causality testing methodology. To be able to apply the Granger causality test first it was necessary to verify the degree of cointegration of the indices of the main equity markets in each of the country (OMX Vilnius, OMX Riga, OMX Tallinn, RTS). For that purpose the authors used the Dickey‐Fuller and Johansen testing methodology. Both methodologies demonstrated a strong cointegration between the changes in the indices of all equity markets irrespective of the period analysed (i.e., pre‐crisis, during the crisis, post‐crisis). In all cases the T‐statistics exceeded the critical value. The strongest cointegration was observable in the crisis period, and the weakest – after the crisis. The results showed that in view of the financial crisis the Latvian market showed the greatest degree of slow‐down despite it being most active in the pre‐crisis times, likewise, Estonian market also showed a somewhat higher degree of passiveness. Thus, it was the Latvian and Estonian markets that the financial downturn had the most painful impacts upon. While the Lithuanian and the Russian markets were, on the contrary, much more active and therefore outlived the equity crash period with least painful after‐effects, thus producing confirmation that in the face of a crisis the interests and expectations of most investors are largely related to major markets normally viewed as more reliable and showing a higher degree of resilience. Santrauka Straipsnyje analizuojami finansų rinkų priežastingumo pokyčiai 2008–2009 m. finansinės krizės laikotarpiu. Pagrindinis dėmesys sutelkiamas į Baltijos šalių– Lietuvos, Latvijos ir Estijos – bei Rusijos akcijų rinkų pokyčius nuo 2008 m. Autoriai iškelia hipotezę, kad finansų rinkose staigaus akcijų kainų kritimo ir jų stabilizavimosi tendencijos, kurios išryškejo nuo 1987 m. prasidėjusios krizės, būdingos dabartinei finansinei krizei. Tyrimo metu daromos prielaidos: abi krizės apima daugelio valstybių finansų rinkas; krizių pradžiai būdingas staigus akcijų kainų kritimas; finansų rinkų stabilizavimosi požymiai pastebimi anksčiau, nei ekspertai konstatuoja krizės pabaigą. Dviejų tarptautinių finansų rinkų krizių bendrųjų tendencijų panašumo hipotezei patvirtinti naudoti empiriniai testai, parengti remiantis Granger priežastiniais testais: Granger priežastiniai testai ir kointegracijos testai. Nustatyta, kad finansinės krizės metu Latvijos rinka tapo pasyviausia, nors iki prasidedant krizei buvo pati aktyviausia, pasyvesne tapo ir Estijos rinka. Taigi finansinis nuosmukis skaudžiausiai paveikė Latvijos ir Estijos finansų rinkas. Lietuvos ir Rusijos rinkos krizės metu tapo pačios aktyviausios ir lengviausiai išgyveno akcijų kainų kritimo perioda, tuo patvirtindamos, kad krizės metu daugelio investuotojų interesai ir lūkesčiai paprastai siejami su didesnemis rinkomis, kurios laikomos patikimesnėmis ir turinčiomis galimybę greičiau atsigauti.

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Causality in quantiles and dynamic stock return–volume relations

Cited by 248 publications

References 44 publications

Dynamic Return-Volume Relations in the Saudi Stock Market: Evidence from Quantiles Regressions

Dynamic Return-Volume Relations in the Saudi Stock Market: Evidence from Quantiles Regressions

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Alterations in the Financial Markets of the Baltic Countries and Russia in the Period of Economic Downturn / Finansų Rinkų Pokyčiai Baltijos Šalyse Ir Rusijoje Ekonominio Nuosmukio Laikotarpiu

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