Clasificación JEL: C12, C22, G10, G14, G15Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets
Abstract: This paper examines the relationship between daily returns and trading volumes using the Granger causality test and, additionally, the day-of-the-week effect in the main Latin American stock markets for the period 1998-2014. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. This study utilizes heteroskedastic variance models and vector autoregression (VAR). Results indicate the presence of a strong day-of-the-week effect in volume and evidence of causality from stock market return over transaction volume variation for almost all analyzed markets.
Keywords: price-volume relationship, day-of-the-week effect, emerging markets, Granger causality.
JEL Classification: C12, C22, G10, G14, G15Une analyse du rapport prix-volume à travers la causalité et l'effet du «jour de la semaine», appliquée aux marchés boursiers d'Amérique latine