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

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

doi:10.1016/j.frl.2018.02.018

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

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

^*Corresponding author for this work

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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 language	English
Pages (from-to)	91-98
Number of pages	8
Journal	Finance Research Letters
Volume	27
Early online date	24 Feb 2018
DOIs	https://doi.org/10.1016/j.frl.2018.02.018
Publication status	Published - Dec 2018

Keywords

Market returns
Time–frequency domain
Trading volume
Wavelet

ASJC Scopus subject areas

Finance

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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.",

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

Abstract

Keywords

ASJC Scopus subject areas

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