Volume and skewness in international equity markets

Elaine Hutson, Colm Kearney, Margaret Lynch

Research output: Contribution to journalArticleResearchpeer-review

30 Citations (Scopus)

Abstract

We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries.
Original languageEnglish
Pages (from-to)1255 - 1268
Number of pages14
JournalJournal of Banking and Finance
Volume32
Issue number7
DOIs
Publication statusPublished - 2008
Externally publishedYes

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