Revisiting the empirical linkages between stock returns and trading volume
Journal
Journal of Banking and Finance
Journal Volume
36
Journal Issue
6
Pages
1781-1788
Date Issued
2012
Author(s)
Abstract
This paper investigates whether the empirical linkages between stock returns and trading volume differ over the fluctuations of stock markets, i.e., whether the return-volume relation is asymmetric in bull and bear stock markets. Using monthly data for the S&P 500 price index and trading volume from 1973M2 to 2008M10, strong evidence of asymmetry in contemporaneous correlation is found. As for a dynamic (causal) relation, it is found that the stock return is capable of predicting trading volume in both bear and bull markets. However, the evidence for trade volume predicting returns is weaker. © 2012 Elsevier B.V.
SDGs
Type
journal article