The dynamic relationship between stock returns and trading volume in domestic and cross-country study

• Main Authors: Liang-jei Huang, 黃樑傑
• Other Authors: Shew-Huei Kuo
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/18005028701543398085

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === This article examines the dynamic relationship between stock return（return volatility）and trading volume（expected and unexpected trading volume） for both domestic and cross-country stock markets by applying GARCH and granger-causality methods. We use the daily data of return and trading volume in typical stock markets in US, UK and some advanced stock markets in Asia for 2000/1/1 to 2005/12/31, the data source is datastream. Major findings are as follows：First, unexpected trading volume contemporaneously has more effect than trading volume or expected trading volume on stock return and return volatility. Second, return granger-cause trading volume and return volatility granger-cause expected trading volume for all countries. Third, information about return, return volatility and trading volume in the UK and US stock market have spillover effect on Asian stock markets, and US stock market has stronger spillover effect on Asian stock markets than UK.