Extreme return–volume dependence in East-Asian stock markets: A copula approach |
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| Authors: | Cathy Ning Tony S Wirjanto |
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| Institution: | 1. Department of Finance, Waikato Management School, University of Waikato, Hamilton, New Zealand;2. Department of Finance, Zhongnan University of Economics and Law, #182 Nanhu Ave., Wuhan 430073 PR China;3. School of Economics and Finance, Massey Business School, Massey University – Albany Campus, Auckland, New Zealand |
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| Abstract: | A copula approach is used to examine the extreme return–volume relationship in six emerging East-Asian equity markets. The empirical results indicate that there is significant and asymmetric return–volume dependence at extremes for these markets. In particular, extremely high returns (large gains) tend to be associated with extremely large trading volumes, but extremely low returns (big losses) tend not to be related to either large or small volumes. |
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