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

Alhussayen, Hanan

doi:10.15388/omee.2022.13.79

Cited by 7 publications

(10 citation statements)

References 29 publications

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“…It does not offer reliable predictive information; it can forecast both the gain and loss at the same time. This finding confirms the studies of Wang (2014), Mpofu (2012), andAlhussayen(2022).…”

Section: Technical Analysis In the Nasdaq Stock Exchange Marketsupporting

confidence: 93%

“…This conclusion contradicts Mahajan and Singh (2008). Karpoff (1987) confirmed that volume is positively related to the magnitude of the price change which also supports Mahajan and Singh (2008) and contradicts Alhussayen (2022). The specific studies on NYSE by Huang and Heian(2010) using the conventional method developed by Jegadeesh and Titman (1993) found there is a statistically abnormal return for higher volume.…”

Section: Introductionmentioning

confidence: 86%

“…Kaizoji (n.d) studying the Tokyo stock exchange found that the relationship between the stock price and trading volume is defined by power laws. A recent study by Alhussayen (2022) in the Saudi Arabia stock market evidenced that there is a unidirectional relationship running from a return to volume. He concluded that the volume does not carry informational content and cannot predict the stock price.…”

Section: Introductionmentioning

confidence: 99%

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Homo-Hetero Pairing Regression Model: An Econometric Predictive Model of Homo Paired Data

Bundala¹

2022

IJFR

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The study aimed to examine the technical and fundamental hypotheses in NYSE, NASDAQ and S&P 500 stock exchange markets. The main determinants (variables) that were examined were stock trading volumes, closing stock prices and stock information available in the stock exchange market. The 240 days, 197 days and 253 days data of closing stock prices and trading volumes at NYSE, S&P500 and NASDAQ stock exchange markets were systematically collected from June 2021 to June 2022. The data was analysed by using the Homo-Hetero Pairing (HHP) Regression Model. This model was developed to detect the linear and non-linear behaviour of data. The study evidenced that both the technical and fundamental hypotheses in NYSE, S&P500 and NASDAQ stock exchange markets are defined by the inverse and S-curved models in two distinctive pairing classes called the positive-positive pairing (PPP) class and the negative-positive pairing (NPP) class. The study concluded that the optimal prediction of the stock price or return is achieved by the fundamentalists in the stock exchange markets. The study recommends that stock investors should priorities the use of the fundamental hypothesis to make their portfolio investment decision. Moreover, the study recommends the application of the HHP regression model in financial markets, economics, psychology, sociology, and medicine studies. In addition, the HHP regression model is recommended for the prediction of water waves in the investigation of hydrodynamic and erosion-accretion processes

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Section: Technical Analysis In the Nasdaq Stock Exchange Marketsupporting

confidence: 93%

Section: Introductionmentioning

confidence: 86%

Section: Introductionmentioning

confidence: 99%

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Homo-Hetero Pairing Regression Model: An Econometric Predictive Model of Homo Paired Data

Bundala¹

2022

IJFR

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“…They concluded that when the price of crude oil went up, the trading volumes increased and a decline in the futures prices resulted in the shrinkage of volumes. Alhussayen (2022) tested the causality between trading volume and returns of the stock market in Saudi Arabia and concluded that volume does not cause returns, whereas there is causality flowing from previous period rates of returns to trading volume. Dimitrios and Tseriki (2022) studied the trading volume and price of five agricultural commodities and observed bidirectional predictability between volume and price movements.…”

Section: Review Of Literaturementioning

confidence: 99%

Volume Progression and Price–Volume Relationship of Commodity Futures: Case of Bullion and Base Metals

Kumar,

Swathi J,

Pallavi T. A.

et al. 2023

NMIMS Management Review

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Purpose: The purpose of this study is to examine the behaviour of trading volumes in commodity futures markets over the life of the contract and to analyse the relationship between changes in price, volume and open interest. Methodology: The volume progression is examined by dividing the life of a futures contract to six phases and analysing how the volumes picked up during each phase. The relationship between price, volume and open interest was examined using the Pearson correlation and the vector autoregression (VAR) model. Findings: It is found that the volumes in commodity futures are clustered around the last phase of the contract’s life. As far as the relationship between price, volume and open interest is concerned, there is a very low correlation between the variables. Price is not influenced by volume or open interest. The volume changes are found to be influenced by open interest, and the open interest is influenced by its own past values. Practical Implications: The findings of the study have implications for traders in the commodity futures market as well as policymakers as it throws light on the crucial issue of lack of volumes in the futures market. Contribution/Originality: The study contributes to the literature in terms of analysis of volume progression, which is not researched extensively in the Indian market. The findings of the study, which contradict the findings of other similar studies, open up scope for further research.

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“…Harga saham dan volume perdagangan saham umumnya memiliki hubungan positif yang saling memengaruhi (Karpoff, 1987). Menurut Jenings et al (1981 return memang memengaruhi volume perdagangan namun dampaknya bisa positif, negatif atau tidak signifikan yang diakibatkan oleh beragamnya informasi yang tiba di pasar secara bersamaan, sehingga investor tidak dapat menangkap esensi sebenarnya dari informasi tersebut (Alhussayen, 2022). Menurut Admati & Pfleiderer (1988), setiap pelaku pasar memiliki kemungkinan untuk menanggapi informasi dengan reaksi yang berbeda sesuai dengan preferensinya.…”

Section: Hasil Dan Pembahasanunclassified

Reaksi Pasar Modal Indonesia Terhadap Rencana Investasi Antara Pemerintah Indonesia dengan Pendiri Tesla dan Space X

Dewi,

Putra

2023

E-Jurnal Akuntansi

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The high or low return received from an investment will be proportional to the risk borne. Investors can reduce this risk by analyzing the factors that cause risk from information that makes the capital market react. This research aims to determine the reaction of the Indonesian capital market to investment plans between the Indonesian government and the founders of Tesla and SpaceX by calculating abnormal returns and trading volume activity of metal and mineral industrial companies listed on the Indonesian Stock Exchange. This research uses the event study method. The observation period was carried out for 7 working days. The sampling method used was non-probability sampling with purposive sampling technique. The research results show that there are no significant abnormal returns on investment plan announcements, but the test results on trading volume activity show significant results. Keywords: Event Study; Abnormal Return; Trading Volume Activity

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

Cited by 7 publications

References 29 publications

Homo-Hetero Pairing Regression Model: An Econometric Predictive Model of Homo Paired Data

Homo-Hetero Pairing Regression Model: An Econometric Predictive Model of Homo Paired Data

Volume Progression and Price–Volume Relationship of Commodity Futures: Case of Bullion and Base Metals

Reaksi Pasar Modal Indonesia Terhadap Rencana Investasi Antara Pemerintah Indonesia dengan Pendiri Tesla dan Space X

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