Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence

Param Silvapulle and Jong-Seo Choi
Additional contact information
Param Silvapulle: School of Economics, La Trobe University
Jong-Seo Choi: School of Economics, La Trobe University

No 1997.21, Working Papers from School of Economics, La Trobe University

Abstract: In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and non-linear causality between these two series. ARCH-type models are used to examine whether the non-linear causal relations can be explained by stock returns and volume serving as proxies for information flow in the stochastic process generating volume and stock returns respectively.

Keywords: Korea; Tests; Stocks (search for similar items in EconPapers)
Pages: 33 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:trb:wpaper:1997.21

Access Statistics for this paper

More papers in Working Papers from School of Economics, La Trobe University Contact information at EDIRC.
Bibliographic data for series maintained by Stephen Scoglio ( this e-mail address is bad, please contact ).