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 language | English |
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Pages (from-to) | 135-156 |
Number of pages | 22 |
Journal | Malaysian Journal of Economic Studies |
Volume | 52 |
Issue number | 2 |
Publication status | Published - 2015 |
Keywords
- Conditional volatility
- GARCH-type models
- Price movement
- Trading volume
- Volatility persistence