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Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

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Abstract

This paper examines the causal and dynamic relationships among stock returns, return volatility and trading volume for five emerging markets in South-East Asia—Indonesia, Malaysia, Philippines, Singapore and Thailand. We find strong evidence of asymmetry in the relationship between the stock returns and trading volume; returns are important in predicting their future dynamics as well as those of the trading volume, but trading volume has a very limited impact on the future dynamics of stock returns. However, the trading volume of some markets seems to contain information that is useful in predicting future dynamics of return volatility.

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Authors and Affiliations

  1. Department of Banking and Finance, Chulalongkorn University, Phayathai Road, Bangkok, 10330, Thailand

    Anirut Pisedtasalasai

  2. Department of Accountancy, Finance and Information Systems, University of Canterbury, Christchurch, New Zealand

    Abeyratna Gunasekarage

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  1. Anirut Pisedtasalasai
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  2. Abeyratna Gunasekarage
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Correspondence to Anirut Pisedtasalasai.

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Pisedtasalasai, A., Gunasekarage, A. Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia. Asia-Pac Finan Markets 14, 277–297 (2007). https://doi.org/10.1007/s10690-008-9063-3

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  • DOI: https://doi.org/10.1007/s10690-008-9063-3

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