An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.

Business & Finance, Personal Finance, Investing, Finance & Investing, Investments & Securities
Cover of the book An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market. by Wing Ho NG, Kam Hung LEUNG, ABoy'sConundrum
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Wing Ho NG, Kam Hung LEUNG ISBN: 9781533764133
Publisher: ABoy'sConundrum Publication: June 2, 2016
Imprint: Language: English
Author: Wing Ho NG, Kam Hung LEUNG
ISBN: 9781533764133
Publisher: ABoy'sConundrum
Publication: June 2, 2016
Imprint:
Language: English

Abstract

This paper investigates the contemporaneous correlation and dynamic relation between absolute price change (***|******Δ******P|***) and trading volume (V) in the Hong Kong stock market. With daily data of thirty-eight blue-chips from 2011 to 2015, evidence of positive correlation is found. Besides, the statistical results from Granger-causality tests indicate that the existence of the dynamic relation is very probable. The existence of different directions of causality may also be very probable, which depends on the use of different number of lagged values. Regarding the effect of earnings announcements, it may suggest that we can be more confident to use the stochastic time series model based on G-causality to predict |ΔP| or V when there is less information flowing into the market. 

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Abstract

This paper investigates the contemporaneous correlation and dynamic relation between absolute price change (***|******Δ******P|***) and trading volume (V) in the Hong Kong stock market. With daily data of thirty-eight blue-chips from 2011 to 2015, evidence of positive correlation is found. Besides, the statistical results from Granger-causality tests indicate that the existence of the dynamic relation is very probable. The existence of different directions of causality may also be very probable, which depends on the use of different number of lagged values. Regarding the effect of earnings announcements, it may suggest that we can be more confident to use the stochastic time series model based on G-causality to predict |ΔP| or V when there is less information flowing into the market. 

More books from Investments & Securities

Cover of the book Come fare Scalping sul Future Mini-DAX by Wing Ho NG, Kam Hung LEUNG
Cover of the book Optimalisation fiscale des professions médicales by Wing Ho NG, Kam Hung LEUNG
Cover of the book Fibonacci Trading, Chapter 17 - Beating the Odds with a Trading Plan by Wing Ho NG, Kam Hung LEUNG
Cover of the book What Would Ben Graham Do Now? by Wing Ho NG, Kam Hung LEUNG
Cover of the book Bubbles and Contagion in Financial Markets, Volume 2 by Wing Ho NG, Kam Hung LEUNG
Cover of the book The Investor's Paradox by Wing Ho NG, Kam Hung LEUNG
Cover of the book How to Make Money Trading Stocks and Commodities by Wing Ho NG, Kam Hung LEUNG
Cover of the book All About Day Trading by Wing Ho NG, Kam Hung LEUNG
Cover of the book El CAPM by Wing Ho NG, Kam Hung LEUNG
Cover of the book The Long and Short Of Hedge Funds by Wing Ho NG, Kam Hung LEUNG
Cover of the book Portfolio Selection Using Multi-Objective Optimisation by Wing Ho NG, Kam Hung LEUNG
Cover of the book The Extraordinary New Venture Capital Opportunity by Wing Ho NG, Kam Hung LEUNG
Cover of the book Australia's Next Top Mining Shares by Wing Ho NG, Kam Hung LEUNG
Cover of the book Managing Investment Portfolios by Wing Ho NG, Kam Hung LEUNG
Cover of the book The Midas Touch by Wing Ho NG, Kam Hung LEUNG
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy