Testing the Contemporaneous and Causal Relationship between Trading Volume and Return in the Palestine Exchange

Darwish, Marwan Jumah

doi:10.5539/ijef.v4n4p182

Cited by 11 publications

(8 citation statements)

References 25 publications

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“…This implied that daily new information in the market may have a significant impact on price volatility, which indicates that the bad news generates more impact on volatility of the stock return and trading volume. Darwish (2012) studied the causal relationship between return and trading volume in the Palestine Stock Exchange. The author has used weekly trading volume and returns over the period from October 2000 to August 2010 and employed GARCH (1,1) model to test the existence of the positive contemporaneous relationship.…”

Section: Introductionmentioning

confidence: 99%

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

Bajaj¹,

Dua²

2014

EJBE

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Section: Introductionmentioning

confidence: 99%

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

Bajaj¹,

Dua²

2014

EJBE

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“…Besides this, their study witnessed the important role of trading volume for the prediction of the volatility dynamics of the KSM. Darwish (2012) evidenced bi-directional causality in the Palestine Exchange and also confirmed the existence of the positive contemporaneous relationship between return and trading volume. His study also advised market participants and regulators to use historical data of trading volume for observing the stock price movement in the market.…”

Section: Review Of the Literaturementioning

confidence: 64%

Sensitivity of Indian Stock Market vis-à-vis Price Volume Relationship in the Backdrop of FII

Bajaj¹

2014

Asia-Pacific Journal of Management Research and Innovation

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This study aims to examine the changes in the dynamic relationship between return registered by stocks and trading volume because of the changes in the flow of Foreign Institutional Investments in the Indian stock market. Author has tested the relationship using daily data of S&P CNX Nifty (that is, NSE’s index) from 2000 to 2013 and methodologies described by Bollerslav (1986), Engle (1982) and Sims (1980), that is, Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) (1, 1), Exponential Generalized Auto Regressive Conditional Heteroskedasticity (EGARCH) (1, 1), Vector Autoregression (VAR), Granger causality, Variance Decomposition (VDC) and Impulse Response Function (IRF). The empirical analysis evidences the significant role of trading volume in lessening volatility and also adjudges the Indian stock market highly inefficient due to the presence of volatility persistence. In addition, VAR results document serial correlation between trading volume coefficients and its lagged values in case of all the subsamples that confirm the flow of information arrival sequential. Besides this, VDC and IRF results also assert that the amount of information contributed by stock return for the prediction of trading volume is far greater than the other way around and announce the study of stock return more useful in predicting the future kinetics of stock return as well as trading volume.

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“…This study employs VAR Granger Causality test to examine the dynamic relationships between market return and equity fund flows, and between market volatility and equity fund flows. Consistent with Darwish (2012), a VAR model which includes market returns and equity fund flows is as follows:…”

Section: Var Granger Causalitymentioning

confidence: 99%

Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

Sapian¹,

Lee²

2018

IJARBSS

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This study examines the dynamic linkages among market return, market volatility, and equity fund flows of institutional and retail investors both foreign and local into Malaysian Stock Exchange, Bursa Malaysia. Using a total of 1661 daily observations of aggregate trade data for a period from 1 st October 2009 to 30 th June 2016, this study finds that market return has an effect on buy trades of local investors, sell trades of foreign institutions and local retailer as well as net flows of foreign institutions and retailers. On the equity flows-market return relation, the finding shows that the buy trades of foreign retail investors, net flows of foreign institutions and foreign retailers affect market return. This study also provide evidence that market volatility is significantly impact foreign institutional investors buy trades as well as local retailer net flows of equity. Furthermore, this study reveal that there are insignificant results for the equity flows-market volatility relation. The findings of this study is crucial and will benefit most to portfolio fund managers, traders, foreign and local investors dealing with Bursa Malaysia.

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Testing the Contemporaneous and Causal Relationship between Trading Volume and Return in the Palestine Exchange

Cited by 11 publications

References 25 publications

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

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

Sensitivity of Indian Stock Market vis-à-vis Price Volume Relationship in the Backdrop of FII

Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

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