Abstract
The objective of this study is to analyze the relationship between the Russian Trading System Index and trading volume for the Russian Trading System Index. We use daily closing price and trading volume for the data for the RTS Index from September 4, 1995 to November 8, 2011. We find a positive statistically significant relationship between the natural logarithm of price volume changes and changes in the RTS Index and for the natural logarithm of price volume changes relative to a five-day average of price volume changes; thus the impact of trading volume is persistent.
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