Extreme return-volume dependence in East-Asian stock markets: A copula approach

Cathy Ning and Tony Wirjanto ()

Finance Research Letters, 2009, vol. 6, issue 4, 202-209

Abstract: A copula approach is used to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that there is significant and asymmetric return-volume dependence at extremes for these markets. In particular, extremely high returns (large gains) tend to be associated with extremely large trading volumes, but extremely low returns (big losses) tend not to be related to either large or small volumes.

Keywords: Return-volume; dependence; Extreme; returns; Copulas; Tail; dependence (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:6:y:2009:i:4:p:202-209

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