Trading Volume and Stock Returns Volatility: Evidence from Industrial Firms of Oman
Year: 2015
Type: article
Abstract: This study analyzes the relationship between trading volume and stock return volatility for industrial firms listed on Muscat securities market. Several tests were utilized to include: Brailsford model, vector autoregressive model (VAR), and the pairwise Granger causality test. The empirical results provide evidence of a significant positive effect for return volatility on trading volume. Likewise, the VAR model provides evidence of a significant positive effect of trading volume on stock returns. On the other hand, the pairwise Granger causality test reveals that trading volume Granger-cause stock return. The previous findings are inconsistent with the weak-form of the efficient market hypothesis.
Source: Asian Social Science
Authors: Hazem Al Samman, Mohamed Khaled Al-Jafari
Institution: Prince Mohammad bin Fahd University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W1566368040