Stock Price and Volume Relation in Emerging Markets

Lokman Gündüz · Abdulnasser Hatemi‐J

80 citations0/0 files storedEmerging Markets Finance and Trade

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

This paper explores the causal relationship between stock prices and volume figures for stock markets in the Czech Republic, Hungary, Poland, Russia, and Turkey. Prior to running causality tests, the time series properties of the data are carefully investigated and special attention is given to the choice of optimal lag order. Granger causality tests, based on the Toda-Yamamoto (1995) procedure, reveal that there is no causal relationship between the variables in the Czech Republic. In Hungary, there is a bidirectional causality irrespective of volume or market turnover tested. In Poland, while there is bidirectional causality between stock prices and volume, there exists a unidirectional causality running from market turnover to stock prices. The stock prices unidirectionally cause both volume and market turnover without any feedback in the case of Russia and Turkey. These results have important implications regarding market efficiency and the effects of different market characteristics on the stock price/volume relation.

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References

1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 1999Local Return Factors and Turnover in Emerging Stock Markets 1999Some tests for parameter constancy in cointegrated VAR‐models 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*1978The Dependence of Prices and Volume 1980Asymmetrical Information in Securities Markets and Trading Volume 1983Information Dissemination and Portfolio Choice

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