Information flow between stock return and trading volume: the Tunisian stock market

Kais Tissaoui () and Chaker Aloui

International Journal of Financial Services Management, 2011, vol. 5, issue 1, 52-82

Abstract: This paper investigates the dynamics of information flow between stock return and trading volume in the Tunisian Stock Market (TSE) using intraday data covering the year 2006. The Cross-Correlation Function (CCF) suggested by Cheung and Ng is employed to detect the causality in mean and in variance between stock return and trading volume. Our results reveal that contrary to the Mixture of Distribution Hypothesis (MDH), only a few Tunisian stocks display instantaneous correlations in mean and in variance between trading volume and stock return. However, strong evidence of 'lead-lag' linkages in mean and in variance in major Tunisian stocks is found. This result supports the Sequential Information Arrival Hypothesis (SIAH) of Copeland (1976). Also, our results pointed out that the information flow in the TSE follows a sequential rather than simultaneous process indicating the rejection of the informational efficiency hypothesis.

Keywords: information flow; cross-correlation functions; trading volumes; volatility; stock returns; Tunisia; stock markets; stock exchanges; Tunis; intraday data; Yin-Wong Cheung; Lilian Ng; causality; mean variance; mixture of distribution hypothesis; instantaneous correlations; lead-lag linkages; sequential information arrival hypothesis; SIAH; Thomas Copeland; simultaneous processes; informational efficiency; financial services management. (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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