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

DOI10.1007/S10690-008-9063-3zbMath1170.91360OpenAlexW2060558620MaRDI QIDQ841839

Anirut Pisedtasalasai, Abeyratna Gunasekarage

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-008-9063-3

zbMATH Keywords

VARstock returnsEGARCHtrading volumeReturn volatility

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Dynamic relationship among intraday realized volatility, volume and number of trades

Cites Work

• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

This page was built for publication: Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia