The Price-Volume Relationship In The Chilean Stock Market

Ravindra R. Kamath

22 citations0/0 files storedInternational Business & Economics Research Journal (IBER)

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

Abstract

This study focuses on the econometric relations between daily returns and daily trading volume changes on the Santiago Stock Exchange of Chile. To meet this task, the study utilizes the data of the Selective Stock Price Index, IPSA, from January, 2003 through October, 2006. A significant contemporaneous relation is found between volume and returns. The evidence also indicates that the said relation is asymmetric. Moreover, the results support the notion that the trading volume makes the market move. The causality test results provide a clear evidence of daily returns Granger causing daily trading volume changes in the Chilean equity market.

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References

2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis 1999Volatility in Emerging Stock Markets 2008Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 1988The Dependence between Hourly Prices and Trading Volume

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