The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach
Haslifah Hasim and
Aviral Tiwari ()
Finance Research Letters, 2018, vol. 27, issue C, 91-98
This paper revisits the relationship between market returns and trading volume in a time-frequency domain using a wavelet-based vector autoregression approach. Over 15 years of almost concurrent data from two major emerging stock markets – China and India – are considered for analysis. The relationship is found to vary across different time horizons. In addition, we report that both Chinese and Indian markets depict the artifact of efficiency in the short to medium run. However, markets become inefficient in the longest time horizon studied.
Keywords: Wavelet; Trading volume; Market returns; Time–frequency domain (search for similar items in EconPapers)
JEL-codes: C40 G10 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:91-98
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