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, 27. pp. 91-98. DOI https://doi.org/10.1016/j.frl.2018.02.018
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, 27. pp. 91-98. DOI https://doi.org/10.1016/j.frl.2018.02.018
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, 27. pp. 91-98. DOI https://doi.org/10.1016/j.frl.2018.02.018
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 Faculty of Science and Health > Mathematical Sciences, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 26 Feb 2018 16:20 |
| Last Modified: | 06 Jan 2022 13:48 |
| URI: | http://repository.essex.ac.uk/id/eprint/21523 |
Available files
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