Causality Analysis Between Return Rates / Return Rates Volatility and Trading Volume of Selected Indices of Warsaw Stock Exchange
Year: 2017
Type: article
Abstract: Purpose – to examine the occurrence of Granger causality between return rates or return rates volatility and trading volume of selected indices of the Warsaw Stock Exchange. Design/Methodology/approach – the analysis of the Pearson correlation coefficients, the Granger causality-in-mean test. Findings – the poor correlation between return rates / return rates volatility and trading volume of analyzed indices, the occurrence of the Granger causality from stock returns and stock returns volatility to trading volume of the WIG and mWIG40 indices, the lack of the causal relationship between return rates / return rates volatility and the volume of the WIG20 and sWIG80 indices. Originality/value – the absence of such analysis on the Polish market.
Author: Ewa Widz
Institution: Maria Curie-Skłodowska University
Language: Polish
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2765398349