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- Title
Return-Volume Relation in the Tail: Evidence from Six Emerging Markets.
- Authors
Alex W. H., CHUNG
- Abstract
I empirically investigate the daily return and trading volume relation during the extreme observation for six emerging markets, including Argentina, Chile, Malaysia, Mexico, Singapore and Thailand. I use bivariate threshold theory to explicitly model the joint distribution of absolute return and trading volume, an overall positive correlation between absolute return and trading volume exists using all observations among six markets. Five out of six markets have weaker but still significant correlation based on the observations exceeding thresholds beyond optimal ones. I also find the return and volume relation overall is asymmetric, i.e., the correlation associated with positive return and volume is greater than the correlation between negative return and volume. For four out of six countries in the sample, the results from the bivariate threshold model indicate that during extreme price movements the asymmetry of the return and volume still holds.
- Subjects
MEXICO; THAILAND; SINGAPORE; MALAYSIA; ARGENTINA; CHILE; RATE of return; EMERGING markets
- Publication
Banking & Finance Letters, 2010, Vol 2, Issue 2, p291
- ISSN
1308-6588
- Publication type
Article