Revisiting the empirical linkages between stock returns and trading volume

Shiu-Sheng Chen

Journal of Banking & Finance, 2012, vol. 36, issue 6, 1781-1788

Abstract: This paper investigates whether the empirical linkages between stock returns and trading volume differ over the fluctuations of stock markets, i.e., whether the return–volume relation is asymmetric in bull and bear stock markets. Using monthly data for the S&P 500 price index and trading volume from 1973M2 to 2008M10, strong evidence of asymmetry in contemporaneous correlation is found. As for a dynamic (causal) relation, it is found that the stock return is capable of predicting trading volume in both bear and bull markets. However, the evidence for trade volume predicting returns is weaker.

Keywords: Stock returns; Trading volume; Stock market fluctuations (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (60)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:36:y:2012:i:6:p:1781-1788

DOI: 10.1016/j.jbankfin.2012.02.003

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