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The relationship between trading volume, stock index returns and volatility: Empirical evidence in Nordic countries.

Le, Quang Tiep and Mehmed, Mustafa (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.
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author
Le, Quang Tiep and Mehmed, Mustafa
supervisor
organization
year
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},
  keyword      = {trading volume,return volatility,EGARCH,VAR,Granger causality,Nordic stock markets.,stock returns,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {The relationship between trading volume, stock index returns and volatility: Empirical evidence in Nordic countries.},
  year         = {2009},
}