Dynamic relationship between stock return, trading volume, and volatility in the Stock Exchange of Thailand: does the US subprime crisis matter?

Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The results may give understanding on how investors make their trading decisions that can affect portfolio adjustment.

Keywords: Stock return; trading volume; volatility; VAR; subprime crisis (search for similar items in EconPapers)
JEL-codes: C22 G1 G15 (search for similar items in EconPapers)
Date: 2016-09
New Economics Papers: this item is included in nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:73791

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