Volume and skewness in international equity markets

Elaine Hutson, Colm Kearney and Margaret Lynch

Journal of Banking & Finance, 2008, vol. 32, issue 7, 1255-1268

Abstract: We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries.

Date: 2008
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Citations: View citations in EconPapers (20)

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Working Paper: Volume and Skewness in International Equity Markets (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:32:y:2008:i:7:p:1255-1268

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