Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks

Cetin Ciner

International Review of Financial Analysis, 2015, vol. 41, issue C, 277-283

Abstract: We investigate whether trading volume has explanatory power for time variation in CAPM betas as well as returns, for the precious metals mining sector. We show that significant dependencies exist between these variables; however, empirical linkages are only revealed when quantile regression method is employed. The observed dynamics are particularly strong between trading volume and returns. We find that returns from lower (higher) quantiles have a negative (positive) relation with volume. We discuss the consistency of this asymmetric relation with equilibrium volume–return autocorrelation models suggested in prior work.

Keywords: Trading volume; Quantile regression; Returns; Beta (search for similar items in EconPapers)
JEL-codes: G0 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:41:y:2015:i:c:p:277-283

DOI: 10.1016/j.irfa.2015.01.019

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