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

  • Anirut Pisedtasalasai
  • Abeyratna Gunasekarage


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.


Stock returns Trading volume Return volatility VAR EGARCH 


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© Springer Science+Business Media, LLC. 2008

Authors and Affiliations

  1. 1.Department of Banking and FinanceChulalongkorn UniversityBangkokThailand
  2. 2.Department of Accountancy, Finance and Information SystemsUniversity of CanterburyChristchurchNew Zealand

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