Modelling price movement in trading volume-volatility relations

Pei Pei Tan, Don Upatissa Asoka Galagedera, Sze Ting

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This study investigated the association between volatility of stock returns and price movement-induced trading volume. In the trading volume and volatility relation, we modeled price movement using indicator variables and coupled them with trading volume. In a sample of Australian stocks, we found that upward price movement-induced trading volume was likely to affect conditional volatility more than downward price movement-induced trading volume. Evidence of this asymmetric effect was stronger in the case of price movement over the trading period than in price movement over the non-trading period. This association was observed even after controlling for asymmetry of news in the previous period.
Original languageEnglish
Pages (from-to)135 - 156
Number of pages22
JournalMalaysian Journal of Economic Studies
Volume52
Issue number2
Publication statusPublished - 2015

Cite this

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title = "Modelling price movement in trading volume-volatility relations",
abstract = "This study investigated the association between volatility of stock returns and price movement-induced trading volume. In the trading volume and volatility relation, we modeled price movement using indicator variables and coupled them with trading volume. In a sample of Australian stocks, we found that upward price movement-induced trading volume was likely to affect conditional volatility more than downward price movement-induced trading volume. Evidence of this asymmetric effect was stronger in the case of price movement over the trading period than in price movement over the non-trading period. This association was observed even after controlling for asymmetry of news in the previous period.",
author = "Tan, {Pei Pei} and Galagedera, {Don Upatissa Asoka} and Sze Ting",
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volume = "52",
pages = "135 -- 156",
journal = "Malaysian Journal of Economic Studies",
issn = "0126-5350",
publisher = "Persatuan Ekonomi Malaysia",
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Modelling price movement in trading volume-volatility relations. / Tan, Pei Pei; Galagedera, Don Upatissa Asoka; Ting, Sze.

In: Malaysian Journal of Economic Studies, Vol. 52, No. 2, 2015, p. 135 - 156.

Research output: Contribution to journalArticleResearchpeer-review

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T1 - Modelling price movement in trading volume-volatility relations

AU - Tan, Pei Pei

AU - Galagedera, Don Upatissa Asoka

AU - Ting, Sze

PY - 2015

Y1 - 2015

N2 - This study investigated the association between volatility of stock returns and price movement-induced trading volume. In the trading volume and volatility relation, we modeled price movement using indicator variables and coupled them with trading volume. In a sample of Australian stocks, we found that upward price movement-induced trading volume was likely to affect conditional volatility more than downward price movement-induced trading volume. Evidence of this asymmetric effect was stronger in the case of price movement over the trading period than in price movement over the non-trading period. This association was observed even after controlling for asymmetry of news in the previous period.

AB - This study investigated the association between volatility of stock returns and price movement-induced trading volume. In the trading volume and volatility relation, we modeled price movement using indicator variables and coupled them with trading volume. In a sample of Australian stocks, we found that upward price movement-induced trading volume was likely to affect conditional volatility more than downward price movement-induced trading volume. Evidence of this asymmetric effect was stronger in the case of price movement over the trading period than in price movement over the non-trading period. This association was observed even after controlling for asymmetry of news in the previous period.

M3 - Article

VL - 52

SP - 135

EP - 156

JO - Malaysian Journal of Economic Studies

JF - Malaysian Journal of Economic Studies

SN - 0126-5350

IS - 2

ER -