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The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
The Empirical Relationship between Stock Return and Trading Volume based on Stock Market Cycles
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| Creator |
Amanda Melissa Christiana; Faculty of Economics and Business, Universitas Indonesia
Eva Setiana; Faculty of Economics and Business, Universitas Indonesia Mamduch Mamduch; Faculty of Economics and Business, Universitas Indonesia |
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| Subject |
Stock return; Trading volume; Stock market cycles; Contemporaneous relationship; Dynamic relationship; Markov switching; Granger causality
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| Description |
In this paper, we use Markov switching autoregressive model and bivariate VAR model to analyze the empirical relationship between stock return and trading volume based on stock market cycles. Using daily data for the IHSG closing price and trading volume from 2010 to 2014, we identify the bull and bear phases in Indonesia stock market, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positive contemporaneous return–volume relationship in both bull and bear markets, which is only significant in bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3) there exists a positive unidirectional causality from stock return to trading volume. In addition, our findings are robust for different sample period and data frequency.
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| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
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| Contributor |
—
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| Date |
2016-02-20
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| Type |
Peer-reviewed Article
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| Format |
application/pdf
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| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/5186
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| Source |
Indonesian Capital Market Review; Vol 8, No 1 (2016): January 2016; 46-57
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| Language |
en
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