The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach

被引：29

作者：

Gupta, Suman ^{[1
]}

Das, Debojyoti ^{[1
]}

Hasim, Haslifah ^{[2
]}

Tiwari, Aviral Kumar ^{[3
]}

机构：

[1] Indian Inst Management Raipur, Finance Area, GEC Campus, Raipur 492015, Chhattisgarh, India

[2] Univ Essex, Dept Math Sci, Wivenhoe Pk, Colchester CO4 3SQ, Essex, England

[3] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

来源：

FINANCE RESEARCH LETTERS | 2018年 / 27卷

关键词：

Wavelet; Trading volume; Market returns; Time-frequency domain; MARKETS; BEHAVIOR; OVERCONFIDENCE; INFORMATION; PRICE; MODEL; EQUILIBRIUM; CAUSALITY;

D O I：

10.1016/j.frl.2018.02.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper revisits the relationship between market returns and trading volume in a time-frequency domain using a wavelet-based vector autoregression approach. Over 15 years of almost concurrent data from two major emerging stock markets - China and India - are considered for analysis. The relationship is found to vary across different time horizons. In addition, we report that both Chinese and Indian markets depict the artifact of efficiency in the short to medium run. However, markets become inefficient in the longest time horizon studied.

引用

页码：91 / 98

页数：8

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