The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures

Yu-Sheng Kao, Hwei-Lin Chuang and Yu-Cheng Ku

The North American Journal of Economics and Finance, 2020, vol. 54, issue C

Abstract: The purpose of this study is to examine the relationships between return and trading volume as well as between return volatility and trading volume by analyzing the asymmetric relationships of contemporaneity and lead-lags between these factors for the S&P 500 VIX Futures Index. We apply the threshold model with the GJR-GARCH framework for empirical analysis herein. The main findings demonstrate that the threshold effects exist in both the contemporaneous and lead-lag relationships between return-volume and volatility-volume. Moreover, the delayed effects of a one-trading-day lag through to three-trading-day lags exist from trading volume to returns and return volatility. Larger trading volume is beneficial for investors to gain returns, but it also leads to higher volatility. The implication of our findings offers a suggestion as to the opportune timing for investors to buy S&P 500 VIX Futures.

Keywords: Trading volume; Volatility; Threshold model; GJR-GARCH; S&P 500 VIX Futures (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303358

DOI: 10.1016/j.najef.2018.10.019

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