Relationship between Stock Returns and Trading Volume at the Bourse Régionale des Valeurs Mobilières, West Africa

Jean-Pierre Gueyie, Mouhamadou Saliou Diallo () and Mamadou Fadel Diallo
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Jean-Pierre Gueyie: Department of Finance, School of Management, University of Quebec in Montreal, Montreal, QC H2X 3X2, Canada
Mouhamadou Saliou Diallo: Faculty of Economics and Management, Cheikh Anta Diop University, Dakar 4163, Senegal
Mamadou Fadel Diallo: Faculty of Economics and Management, Cheikh Anta Diop University, Dakar 4163, Senegal

IJFS, 2022, vol. 10, issue 4, 1-16

Abstract: The objective of this paper is to study the contemporaneous relationship and the dynamic relationship between the stock index return and the trading volume on the Bourse Régionale des Valeurs Mobilières using daily data from 5 January 2015 to 31 October 2022. Estimations are made using the generalized method of moments (GMM) and generalized autoregressive conditional heteroscedasticity or GARCH (1,1) specifications for the contemporaneous regressions and the vector autoregressive specification for the dynamic (causal) relationship. The contemporaneous specifications show that there is no significant relationship between stock returns and trading volume. Neither of the two variables significantly influences the other. Furthermore, the dynamic specification shows a causality running from stock returns to trading volume but the reverse is not true. For the period covered by the study, the results invalidate both the mixture of distribution hypothesis and the sequential information arrival hypothesis and open the way for other considerations such as behavioral models.

Keywords: stock returns; trading volume; dynamic relationship; Granger causality; Bourse Régionale des Valeurs Mobilières (BRVM); West Africa (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2022
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