Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets

Emilio Rojas Olea () and Werner Kristjanpoller Rodríguez ()
Additional contact information
Emilio Rojas Olea: Universidad Técnica Federico Santa María
Werner Kristjanpoller Rodríguez: Universidad Santa María

Lecturas de Economía, 2015, issue 83, 9-31

Abstract: This paper examines the relationship between daily returns and trading volumes using the Granger causality test and, additionally, the day-of-the-week effect in the main Latin American stock markets for the period 1998-2014. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. This study utilizes heteroskedastic variance models and vector autoregression (VAR). Results indicate the presence of a strong day-of-the-week effect in volume and evidence of causality from stock market return over transaction volumevariation for almost all analyzed markets.

Keywords: price-volume relationship; day-of-the-week effect; emerging markets; Granger causality (search for similar items in EconPapers)
JEL-codes: C12 C22 G10 G14 G15 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://aprendeenlinea.udea.edu.co/revistas/index.p ... cle/view/23436/19296 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2015:i:83:p:9-31

Ordering information: This journal article can be ordered from
Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

DOI: 10.17533/udea.le.n83a01

Access Statistics for this article

Lecturas de Economía is currently edited by Carlos Andrés Vasco Correa

More articles in Lecturas de Economía from Universidad de Antioquia, Departamento de Economía Contact information at EDIRC.
Bibliographic data for series maintained by Carlos Andrés Vasco Correa ().