Institutional investment, equity volume and volatility spillover: Causalities and asymmetries
Sandip Chakraborty and
Ram Kumar Kakani
Journal of International Financial Markets, Institutions and Money, 2016, vol. 44, issue C, 1-20
We study four-varyingly liberalized emerging markets, precisely, India, Korea, Taiwan and Vietnam, to test causalities and asymmetries of price volume relationship in the conditional second moment. Unlike past literature, equity volume appears as endogenous dynamic information evolving simultaneously with volatility. We extend past researches correlating equity return and volume after splitting into domestic and foreign institutional investor purchases. Uniquely, volatility led impact on volume is much bigger than the volume led impact on volatility. Among other results, we highlight that conditional correlation between volume dispersion and returns dispersion triggers and plays an important role in the stabilization of equity markets.
Keywords: Institutional investment; Volume spillover; Conditional correlation; Second moment; Emerging markets (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
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:eee:intfin:v:44:y:2016:i:c:p:1-20
Access Statistics for this article
Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely
More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Series data maintained by Dana Niculescu ().