The stock price–volume relationship in emerging stock markets: the case of Latin America

Revisiting the empirical linkages between stock returns and trading volume

“…Griffin et al (2007) examine data from 46 developed and developing countries, and show a strong positive relation between turnover and past returns in many markets. Using data from emerging stock markets (six Latin American markets), Saatcioglu and Starks (1998) fail to find strong evidence of stock price changes leading to volume changes. On the other hand, they find that volume seems to lead to stock price changes.…”

Investigation of Causal Relationship between Stock Prices and Trading Volume using Toda and Yamamoto Procedure

“…Bhagat and Bhatia (1996) also employed daily and weekly data to test the causal relationship between volume and return, finding return causes volume but not vice versa. Saatcioglu and Starks (1998) used monthly data taken from the six Latin American stock markets to test the relation between price changes and volume. They found a positive pricevolume and a causal relationship from volume to stock price changes but not vice versa.…”

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

“…Assogbavi et al (1995) through adopting linear regression model to explore Canada stock market argue that when trading value increases, stock index returns descend. Saatcioglu and Starks (1998) by applying Vector Auto regression model (VAR) for investigating stock market in six countries of Latin America (i.e., Chile, Argentina, Brazil, Colombia, Mexico, and Venezuela) point out that stock trading value exerts a negative impact on stock index returns. Lee and Rui (2002) by conducting Granger Causality Test to explore the daily data of three markets including New York, Tokyo, and London find that the phenomenon that trading value affects stock index returns does not exist.…”

“…Generally, previous researches regarding the relationships between stock returns and trading value often adopt the Granger causality test (Chen et al, 2001) Vector Auto Regressions (VAR) (Saatcioglu and Starks, 1998;Statman et al, 2006;Xu et al, 2006) and GARCH model (Lee and Rui, 2002) for conducting analyses. A review of the extant literature also shows that studies on the relationships between stock returns and oil price changes frequently utilize Johansen's co-integration method (Hondroyiannis and Papapetrou, 2001;Maghyereh and Kandari, 2007) Vector Auto Regressions (VAR) (Henriques and Sadorsky, 2008) GARCH model (Mollick and Assefa, 2013) and multiple regression (Driesprong et al, 2008;Mohanty et al, 2011).…”

“…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).…”