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Institutional investment, equity volume and volatility spillover: Causalities and asymmetries

Sandip Chakraborty and Ram Kumar Kakani

Journal of International Financial Markets, Institutions and Money, 2016, vol. 44, issue C, pages 1-20

Abstract: We study four-varyingly liberalized emerging markets, precisely, India, Korea, Taiwan and Vietnam, to test causalities and asymmetries of price volume relationship in the conditional second moment. Unlike past literature, equity volume appears as endogenous dynamic information evolving simultaneously with volatility. We extend past researches correlating equity return and volume after splitting into domestic and foreign institutional investor purchases. Uniquely, volatility led impact on volume is much bigger than the volume led impact on volatility. Among other results, we highlight that conditional correlation between volume dispersion and returns dispersion triggers and plays an important role in the stabilization of equity markets.

Keywords: Institutional investment; Volume spillover; Conditional correlation; Second moment; Emerging markets (search for similar items in EconPapers)
Date: 2016
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