Common features between stock returns and trading volume

Abstract

This article tests for the existence of features shared in common by daily stock returns and trading volume contributing to the empirical analysis of the relation between those series. Using Spanish data this study analyses this hypothesis looking at features such as seasonality, skewness, kurtosis, non normality and serial correlation. This study finds that monthly seasonalities and distributional features such as skewness are driven by a common factor in stock returns and volume. This study also finds a non-synchronized comovement between the cycles of both variables.

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