THE DYNAMIC RELATIONSHIP BETWEEN STOCK VOLATILITY AND TRADING VOLUME
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 8
Abstract
The objective of the study is to measure the relationship between trading volume and returns; and change in trading volume and returns of stocks in Pakistan.Various techniques such as Unit root tests and GARCH have been applied on the data to determine the relationship between aforesaid variables. For this purpose, weekly data of Karachi Stock Exchange (KSE-100 index) has been collected and analyzed from January 2000 to March 2012.The GARCH results indicate a significant positive relationship between trading volume and returns; and change in trading volume and returns.This relationship is of great importance to individuals from investment and policy making perspective as trading volume reflects information about market expectations, and its relationship with price can have important implications for trading, speculation, forecasting and hedging activities.
Authors and Affiliations
Muhammad Irfan Javaid Attari| He holds M.Sc. Accounting & Finance and M.Phil. Finance degrees. He has been enrolled as a HEC-Funded-Ph.D. Scholar in SZABIST, Islamabad, since 2010. He is currently Visiting Lecturer in Air University, Islamabad (Multan Campus). He has produced several research articles and a book.Now a day, he is working on different issues of accounting, finance & economics. E-mail: irfan92edu@yahoo.com, Saubana Rafiq| She is currently doing her MBA (Finance) from Air University, Islamabad (Multan Campus) and her primary area of interest in research is financial econometrics. E-mail: saubana3@gmail.com, Hayat Muhammad Awan| He is currently offering his services as Director of Air University, Islamabad (Multan Campus) and Head of Department of Business Administration as well. He had served in Bahauddin Zakariya University, Multan as the Director of IMS; Dean of Commerce, Law and Management Sciences; and Vice Chancellor. He is author of more than 50 research articles in the journal of international repute. E-mail: drhayat@mail.au.edu.pk
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