Abstract
The price-volume relation is tested using data for four emerging Asian stock markets: Malaysia, the Philippines, Singapore, and Thailand. Evidence is found for causality from volume to absolute price changes and from price changes per se to volume. Some evidence is also found for bidirectional causality. Another finding is that the relation is contemporaneous, lagged, positive and sensitive to institutional, organizational, and structural factors. Nonlinear specifications do not seem to be superior to linear causality models.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.