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The Dynamic Relationship Between Stock Returns and Trading Volume Revisited: A MODWT-VAR Approach

Gupta, S and Das, D and Hasim, HBM and Tiwari, AK (2018) 'The Dynamic Relationship Between Stock Returns and Trading Volume Revisited: A MODWT-VAR Approach.' Finance Research Letters. ISSN 1544-6123

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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.

Item Type: Article
Uncontrolled Keywords: Wavelet; Trading Volume; Market Returns; Time-frequency domain
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 26 Feb 2018 16:20
Last Modified: 24 Feb 2019 02:00
URI: http://repository.essex.ac.uk/id/eprint/21523

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