Revisiting the dynamic stock return–volume relationship in South Africa: a non-parametric causality in quantiles approach

Kingstone Nyakurukwa

Macroeconomics and Finance in Emerging Market Economies, 2024, vol. 17, issue 1, 136-152

Abstract: The study investigates the dynamic relationship between trading volume and stock returns on the JSE. The results show prima facie evidence of causality from returns to trading volume in the middle quantiles of the conditional distributions in stable periods as well as the full sample, and this causal relationship disappears during the in-crisis and the post-COVID periods. Second, it is observed that the highest impact occurs in the middle of the conditional distribution but not necessarily the median. Third, across all the samples used in the study, no evidence is found of causality from trading volume to return.

Date: 2024
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DOI: 10.1080/17520843.2021.1953865

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