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Analyzing the Causal Relations between Trading Volume and Stock Returns and between Trading Volume and Return Volatility in Tehran Stock Exchange

Identifying the causal relations between trading volume and stock returns and between trading volume and return volatility plays a vital role in identifying profitable investment opportunities. In this study, the Granger causality test was conducted to analyze the causal relationships between the me...

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Uloženo v:
Hlavní autoři: Mohammad Reza Rostami, Peyman Alipour, Adel Behzadi
Médium: Artigo
Jazyk:Inglês
Vydáno: Iran Finance Association 1999-12-01
Edice:Iranian Journal of Finance
Témata:
stock returns
volume of trade
return volatility
causal relationships
vector auto regression model
granger causality
garch
On-line přístup:https://www.ijfifsa.ir/article_101108_380655f903f5e36f4a9964ff285c7e10.pdf
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