Cross-correlations in volume space: Differences between buy and sell volumes

Sun Young Lee, Dong Il Hwang, Min Jae Kim, In Gyu Koh and Soo Yong Kim

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 5, 837-846

Abstract: We study the cross-correlations of buy and sell volumes on the Korean stock market in high frequency. We observe that the pulling effects of volumes are as small as that of returns. The properties of the correlations of buy and sell volumes differ. They are explained by the degree of synchronization of stock volumes. Further, the pulling effects on the minimal spanning tree are studied. In minimal spanning trees with directed links, the large pulling effects are clustered at the center, not uniformly distributed. The Epps effect of buy and sell volumes are observed. The reversal of the cross-correlations of buy and sell volumes is also detected.

Keywords: Cross-correlations; Volumes; Pulling effect; Minimal spanning tree; Epps effect; Frequency scale; Synchronization (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:5:p:837-846

DOI: 10.1016/j.physa.2010.11.012

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