Year: 2011
Type: article
Abstract: This study focuses on the econometric relations between daily returns and daily trading volume changes on the Santiago Stock Exchange of Chile. To meet this task, the study utilizes the data of the Selective Stock Price Index, IPSA, from January, 2003 through October, 2006. A significant contemporaneous relation is found between volume and returns. The evidence also indicates that the said relation is asymmetric. Moreover, the results support the notion that the trading volume makes the market move. The causality test results provide a clear evidence of daily returns Granger causing daily trading volume changes in the Chilean equity market.
Author: Ravindra R. Kamath
Institution: Cleveland State University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1783425673