Trading Volume and Stock Returns Volatility: Evidence from Industrial Firms of Oman

Abstract

This study analyzes the relationship between trading volume and stock return volatility for industrial firms listed on Muscat securities market. Several tests were utilized to include: Brailsford model, vector autoregressive model (VAR), and the pairwise Granger causality test. The empirical results provide evidence of a significant positive effect for return volatility on trading volume. Likewise, the VAR model provides evidence of a significant positive effect of trading volume on stock returns. On the other hand, the pairwise Granger causality test reveals that trading volume Granger-cause stock return. The previous findings are inconsistent with the weak-form of the efficient market hypothesis.

Determinants of Trading Volume in Karachi Stock Market

“…The variable of un-systematic risk has positive and significant relationship with trading volume, indicating that one unit change in residual risk result in 36 unit change in trading volume of the companies. Results of the current study are consistent with the findings of Al Samman and Al-Jafari (2015); Chen et al (2001); Lo and Wang (2000); Mala and Reddy (2007); Rehman et al (2012); Wang et al (2005).…”

The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Context of Saudi Arabia

“…While other papers provide support for the unidirectional relationship between trading volume and returns (Pathirawasam, 2011;Samman & Al-Jafari, 2015), Adhikari (2020) reveals the existence of a unidirectional causality between trading volume and stock returns in the Nepalese market. Trading volume Granger-causes stock returns in the commercial banks sector.…”

“…However, large increases or decreases in prices, accompanied with high abnormal trading volume, lead to price reversals. Samman and Al-Jafari (2015) found a positive and significant impact of trading volume on stock returns. The trading volume of industrial firms listed on Muscat's securities exchange Granger-causes its returns.…”

“…Market returns are measured as the difference between current TASI value minus its previous value, divided by its previous value. Trading volume is measured as the log value of the number of shares traded in the market (Samman & Al-Jafari 2015). The variables under study are measured on a daily basis starting from the 2 nd of January, 2010 till the 6 th of June, 2021, with a total number of observations equal to 2857.…”

Hisse Senedi Hacminin Fiyatı Üzerindeki Asimetrik Etkisinin İncelenmesi: Tekstil Hisseleri Üzerine Bir Uygulama

“…Başar (2014) applied a dynamic panel regression estimation on the stocks of logistics and civil aviation companies on BIST and reached the result that stock prices were negatively and significantly affected by the volume. Al Samman and Al-Jafari (2015) argued that the volume for the Omani stock exchange is the reason for stock returns. Findings related to the relationship between price and volumes have been obtained in studies conducted on BIST (Akar, 2008;Baklaci and Kasman, 2006;Başci et al, 1996;Kayalıdere, Kargın, and Aktaş, 2009;Umutlu, 2008;Yörük et al, 2006).…”