Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia

被引：20
|
作者：
Pisedtasalasai A. [1 ]
Gunasekarage A. [2 ]
机构：
[1] Department of Banking and Finance, Chulalongkorn University, Bangkok 10330, Phayathai Road
[2] Department of Accountancy, Finance and Information Systems, University of Canterbury, Christchurch
来源：
Asia-Pacific Financial Markets | 2007年 / 14卷 / 4期
关键词：
EGARCH; Return volatility; Stock returns; Trading volume; VAR;
D O I：
10.1007/s10690-008-9063-3
中图分类号：
学科分类号：
摘要：
This paper examines the causal and dynamic relationships among stock returns, return volatility and trading volume for five emerging markets in South-East Asia-Indonesia, Malaysia, Philippines, Singapore and Thailand. We find strong evidence of asymmetry in the relationship between the stock returns and trading volume; returns are important in predicting their future dynamics as well as those of the trading volume, but trading volume has a very limited impact on the future dynamics of stock returns. However, the trading volume of some markets seems to contain information that is useful in predicting future dynamics of return volatility. © 2008 Springer Science+Business Media, LLC.
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页码：277 / 297
页数：20
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