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    An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.
    An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.
    An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.
    Ebook34 pages19 minutes

    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 and Kam Hung LEUNG

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    About this ebook

    Abstract

    This paper investigates the contemporaneous correlation and dynamic relation between absolute price change (|ΔP|) 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. 

    LanguageEnglish
    PublisherABoy'sConundrum
    Release dateJun 2, 2016
    ISBN9781533764133
    An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.

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      Book preview

      An Empirical Study of Price-Volume Relation - Wing Ho NG

      Abstract

      This paper investigates the contemporaneous correlation and dynamic relation between absolute price change (|ΔP|) 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.

      Introduction

      Price-volume relation is enchanting to both financial academics and practitioners for recent decades. There are several reasons to investigate the relationship.

      Purposes of studying price-volume relation

      Firstly, Karpoff (1987) contends that price-volume relation provides insightful information on financial market structure, including market size, limitations of short-selling activities, and price sensitivity on information release.

      Secondly, investigation of price-volume relation facilitates event studies, which can utilize both price change and trading volume to draw inferences about an event’s information contents, individual and aggregate expectations of investors, and expectations’ changes and discrepancies, as in

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