Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach

Cathy Ning and Tony Wirjanto ()

No 8009, Working Papers from University of Waterloo, Department of Economics

Abstract: A copula approach is adopted to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that the return-volume dependence is significant and asymmetric at extremes for all six East-Asian markets. In particular extremely high returns (large gains) tend to be associated with extremely large trading volumes, but only marginal (extremely small) returns tend to be related to either large or small volumes.

Keywords: Return-volume dependence; Extreme returns, Copulas; Tail dependence (search for similar items in EconPapers)
JEL-codes: C14 C51 G12 (search for similar items in EconPapers)
Date: 2008-12
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Citations: View citations in EconPapers (4)

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Journal Article: Extreme return-volume dependence in East-Asian stock markets: A copula approach (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:wat:wpaper:08009

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