Volume and skewness in international equity markets

Causality in quantiles and dynamic stock return–volume relations

“…Thus, we conclude that, for NYSE and S&P 500, the quantile causal effects are mainly due to the tail quantiles outside the interquartile range (except that of ln v tÀ1 for NYSE). Our results are in contrast with many existing findings of non-causality that are based on a test for linear causality in mean (e.g., Kocagil and Shachmurove, 1998;Chen et al, 2001;Lee and Rui, 2002 Hutson et al (2008). The symmetry of these quantile causal effects helps to explain why the conventional methods, such as correlation coefficient and LS estimation, usually yield an insignificant estimate of the causal effect of volume, as the positive and negative effects at corresponding upper and lower quantiles tend to cancel out each other in ''averaging."…”

How does trading volume affect financial return distributions?

“…However, in contrast to the volume-volatility literature, empirical studies on the volume-skewness relationship shows mixed results. The theory of Hong and Stein (2003) is supported by Chen, Hong, and Stein (2001) and Hutson et al (2008) but not supported by Hueng and McDonald (2005) and Charoenrook and Daouk (2008). While a direct volumeskewness relationship is verified with firm-level data, the use of market level data shows little support for the relationship.…”

“…While a direct volumeskewness relationship is verified with firm-level data, the use of market level data shows little support for the relationship. Even though Hutson et al (2008) provide empirical evidence on the theory postulated in Hong and Stein (2003) with national stock market data, the direct effect of volume on skewness only exists in 3 out of 11 cases. Albuquerque (2012) suggests that these conflicting results relating to skewness may be due to the different nature of skewness in firm-and aggregate market returns.…”

“…However, when the market-level data are employed, the relationship tends to disappear (e.g., Hueng & McDonald, 2005). More recently, Hutson et al (2008), in using national stock market indices, provide some empirical evidence on the theory. However, the direct effect of volume on negative skewness only exists in 3 out of 11 cases, providing weak support for the theory at the national level.…”

Revisiting the empirical linkages between stock returns and trading volume

“…Eleanor Xu et al (2006) use a time-consistent VAR model to test the dynamic return volatility-volume relationship, and find that volatility and volume are persistent and highly correlated with past volatility and volume. Hutson et al (2008) examine the relation between the first three moments of market returns and trading volumes, and find significant evidence that higher trading volumes trigger subsequent greater negative market return skewness. Finally, Chuang et al (2009) use quantile regressions to investigate the causal relations between stock return and volume, and show that causal effects of volume on return are usually heterogeneous across quantiles and those of return on volume are more stable.…”