Revisit the Relationship between Stock Returns and Trading Volume

• Main Authors: Yi-ShenShih, 施易伸
• Other Authors: Chun-Li Tsai
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/77816792220602774822

碩士 === 國立成功大學 === 經濟學系碩博士班 === 101 === This paper mainly examines the contemporaneous relationship between stock returns and trading volume. Using daily data for S＆P 100 stock price and trading volume from 1998 to 2007, I investigate whether the return-volume relations differs during different phases of stock market cycles and economic business cycles, i.e., whether or not the relationship is asymmetric in bull and bear stock markets as well as in the recovery and the recession. I apply two theories to my study: First, using Driscoll and Kraay standard errors for panel regression with cross sectional dependence. Second, I employ quantile regression model. In contrast, this paper finds that the return-volume relations across two methods are quite different. In regard to using Driscoll and Kraay standard errors estimated method for panel regression with cross sectional dependence, test results illustrate an significantly asymmetric return-volume relation in bull and bear stock market, but the difference between the recovery and the recession is not statistically significant. In terms of using quantile regression method, test results also illustrate an significantly asymmetric return-volume relation in stock market cycles and economic business cycles. Finally, in order to clarify the exactly relationship within different industries, this paper categorizes all industries into 22 groups to explore the return-volume relationship.