Abstract
This study analyzes the relationship between trading volume and stock return volatility for industrial firms listed on Muscat securities market. Several tests were utilized to include: Brailsford model, vector autoregressive model (VAR), and the pairwise Granger causality test. The empirical results provide evidence of a significant positive effect for return volatility on trading volume. Likewise, the VAR model provides evidence of a significant positive effect of trading volume on stock returns. On the other hand, the pairwise Granger causality test reveals that trading volume Granger-cause stock return. The previous findings are inconsistent with the weak-form of the efficient market hypothesis.
Highlights
There is a considerable amount of research that investigated the relationship between trading volume and stock returns
This study empirically examines the relationship between trading volume and stock return volatility for 17
Industrial companies that are listed on Muscat securities market
Summary
There is a considerable amount of research that investigated the relationship between trading volume and stock returns. In a simple term, trading volume can be referred to as the amount of security or securities (even the entire market) that were bought and sold during a given trading day. The efficient market hypothesis assumes that investigating this relationship will not help investors in achieving abnormal rate of return. Fama (1970) states that current stock prices reflect all security market information including the historical sequence of prices, rates of return, and trading volume. It will be futile to use any trading rules to make a purchasing or selling decision based on past rate of return, trading volume or any past market data
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: 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.
