Does Trading Volume Contain Information to Predict Stock Returns and Volatility? Domestic and Cross-Country Evidence in Asian Stock Markets

• 발행기관: 한국자료분석학회
• 저자명: Ki-Hong Choi Sang Hoon Kang Seong-Min Yoon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.15 No.4, 1789~1800쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2013.08.30

영문 초록

The main goal of this paper is to determine whether trading volume as a proxy of information flow can be useful to improve the prediction of future returns and volatility. For this purpose, we examine the dynamic relationships between trading volume and returns (and volatility) for both domestic and cross-country stock markets. For the empirical analysis, we consider daily data in four Asian stock exchanges (Korea, Japan, China and Hong Kong) and use the GARCH model, which includes trading volume, and the Granger causality test. The main results of our empirical analysis using cross-country Granger causality test are summarized as follows. First, the information on trading volume of Korea, Japan and China can not add any significant power to forecast returns of other country. But there are significant cross-country casual relationships from trading volume to volatility. Second, there are some bi-directional and feedback relationships between return series of Korean market and volume series of Hong Kong, and between trading volumes of Korean and Japanese stock markets. Third, trading volume of Hong Kong has extensive predictive power for the stock markets of Japan and Korea. Last, the effects of cross-country information flow are weak, and Japanese stock market is substantially influenced by market variables of other Asian stock markets of Korea, Hong Kong and China.

목차

1. Introduction

2. Literature review

2. Literature review

4. Methodology

5. Empirical results

6. Conclusion

References

키워드

Causality Cross-country relationship Persistence Trading volume Volatility