The relationship between trading volume, stock index returns and volatility: Empirical evidence in Nordic countries.
(2009)Department of Business Administration
- Abstract
- In this paper, several methods such as VAR and EGARCH are employed to examine the relationship between trading volume, stock index returns and volatility in Nordic countries for the period 1999 to 2009. Our results confirm a positive relationship between trading volume and absolute stock returns. More specifically, there are bidirectional causality in Demark and Finland while Sweden and Norway are found to have unidirectional causality from returns to trading volume. This paper also points out that while trading volume may contain some information which is helpful in explaining volatility it cannot remove the persistence of volatility.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1437644
- author
- Le, Quang Tiep and Mehmed, Mustafa
- supervisor
- organization
- year
- 2009
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- trading volume, return volatility, EGARCH, VAR, Granger causality, Nordic stock markets., stock returns, Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 1437644
- date added to LUP
- 2009-06-04 00:00:00
- date last changed
- 2012-04-02 17:38:00
@misc{1437644, abstract = {{In this paper, several methods such as VAR and EGARCH are employed to examine the relationship between trading volume, stock index returns and volatility in Nordic countries for the period 1999 to 2009. Our results confirm a positive relationship between trading volume and absolute stock returns. More specifically, there are bidirectional causality in Demark and Finland while Sweden and Norway are found to have unidirectional causality from returns to trading volume. This paper also points out that while trading volume may contain some information which is helpful in explaining volatility it cannot remove the persistence of volatility.}}, author = {{Le, Quang Tiep and Mehmed, Mustafa}}, language = {{swe}}, note = {{Student Paper}}, title = {{The relationship between trading volume, stock index returns and volatility: Empirical evidence in Nordic countries.}}, year = {{2009}}, }