INVESTIGATION OF RELATION BETWEEN STOCK RETURNS, TRADING VOLUME, AND RETURN VOLATILITY
Journal Title: International journal of research -GRANTHAALAYAH - Year 2016, Vol 4, Issue 7
Abstract
We use a bivariate GJR-GARCH model to investigate relationship between trading volume and stock returns. We apply our approach on Pakistan stock exchange on data from January 2012 to March 2016. Our major findings include that negative shock has a greater impact on volatility and investors are more prone to the negative news whereas according to GJRGARCH good news has greater impact on stock return and there is a strong relationship exist between the trading volume, stock return and stock volatility.
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