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Asia Pacific Journal of Management

, Volume 7, Issue 2, pp 25–42 | Cite as

Price changes and trading volume relationship in the Hong Kong stock market

  • K. Lam
  • W. K. Li
  • P. S. Wong
Articles

Abstract

Studies on the relationship between price changes and trading volume can provide insight into the structure of the financial market. In this paper, we will study the above topic and concentrate on the stock market of Hong Kong. The correlation between price changes and trading volume as well as that between the magnitude of price changes and trading volume will be examined. We will also check the asymmetry of the price changes and volume relationship. Moreover, we will investigate the relationship between the variance of return and trading volume. Finally, the Granger causality test of price changes and volume will be performed.

Keywords

Stock Market Financial Market Price Change Trading Volume Granger Causality 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© School of Management National University of Singapore 1990

Authors and Affiliations

  • K. Lam
    • 1
  • W. K. Li
    • 1
  • P. S. Wong
    • 1
  1. 1.the Department of Statistics of University of Hong KongChina

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