 Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock marketAbdullah Alsubaie and Mohammad Najand Journal of Multinational Financial Management, 2009, vol. 19, issue 2, 139-159 Abstract: Despite the well known importance of volatility-volume relationship, there is a paucity of research on this topic in emerging markets. We attempt to partially fill this gap by investigating volatility-volume relationship in the most important exchange market in the Middle East. We test the effect of trading volume on the persistence of the time-varying conditional volatility of returns in the Saudi stock market. Overall our results support the mixture of distribution hypothesis at the firm level. We also use two different proxies for information arrival, intra-day volatility, and overnight indicators. We find that these are good proxies for information and are important as contemporaneous volume in explaining conditional volatility. We also test for the volatility spillover direction between large- and small-cap portfolios. Our results show that the spillover effect is larger and statistically significant from large to small companies. Keywords: Saudi; stock; market; Trading; volume; Time-varying; conditional; volatility; Mixture; of; distribution; hypothesis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:19:y:2009:i:2:p:139-159 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
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