The testing of causal stock returns-trading volume dependencies with the aid of copulas
Henryk Gurgul (),
Roland Mestel () and
Robert Syrek ()
Additional contact information
Robert Syrek: Jagiellonian University in Cracow, Institute of Economics and Management
Managerial Economics, 2013, vol. 13, 21-44
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. It is worth noting that these tests can be used in general settings since there is no restrietion on the dimension of the data. The parameter which must be set up for the testing procedure is a bandwidth. It is necessary for estimation of the nonparametric copula. The paper presents some patterns of causal relationships between stock returns, realized volatility and expected and unexpected trading volume. There is linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. Therefore, a knowledge of past stock returns can improve forecasts of expected trading volume. They did not find causality running in the opposite direction.
Keywords: intraday data; realized volatility; trading volume; dynamic interrelations; copulas (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.managerial.zarz.agh.edu.pl/EM_on_line/M ... 013%20%282013%29.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:13:y:2013:p:21-44
Access Statistics for this article
Managerial Economics is currently edited by Henryk Gurgul
More articles in Managerial Economics from AGH University of Science and Technology, Faculty of Management Contact information at EDIRC.
Series data maintained by Lukasz Lach ().