The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach

Suman Gupta, Debojyoti Das, Haslifah Hasim, Aviral Kumar Tiwari

Research output: Contribution to journalArticle

3 Citations (Scopus)
1 Downloads (Pure)

Abstract

This paper revisits the relationship between market returns and trading volume in a time-frequency domain using a wavelet-based vector autoregression approach. Over 15 years of almost concurrent data from two major emerging stock markets – China and India – are considered for analysis. The relationship is found to vary across different time horizons. In addition, we report that both Chinese and Indian markets depict the artifact of efficiency in the short to medium run. However, markets become inefficient in the longest time horizon studied.

Original languageEnglish
Pages (from-to)91-98
Number of pages8
JournalFinance Research Letters
Volume27
Early online date24 Feb 2018
DOIs
Publication statusPublished - Dec 2018

Keywords

  • Market returns
  • Time–frequency domain
  • Trading volume
  • Wavelet

ASJC Scopus subject areas

  • Finance

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