The empirical linkages among market returns,return volatility,and trading volume: Evidence from the S&P 500 VIX Futures |
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| Institution: | 1. School of Finance, Qilu University of Technology, Changqing District, Jinan City, Shandong Province 250353, China;2. Department of Economics, National Tsing Hua University, Hsinchu City 30010, Taiwan;3. Department of Banking and Finance, Shih Chien University, Zhongshan District, Taipei City 10462, Taiwan;1. Nanchang Institute of Technology, China;2. School of Finance, Shanghai University of Finance and Economics, China;3. SHU-UTS SILC Business School, Shanghai University, China;1. Department of Finance, Fujian Business University, 19, Huang Pu, Gulou District, Fuzhou, Fujian, People''s Republic of China;2. Department of Finance, College of Economics, Jinan University, No. 601 Huangpu Avenue West, Guanzhou, Guandong 510632, People’s Republic of China |
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| Abstract: | The purpose of this study is to examine the relationships between return and trading volume as well as between return volatility and trading volume by analyzing the asymmetric relationships of contemporaneity and lead-lags between these factors for the S&P 500 VIX Futures Index. We apply the threshold model with the GJR-GARCH framework for empirical analysis herein. The main findings demonstrate that the threshold effects exist in both the contemporaneous and lead-lag relationships between return-volume and volatility-volume. Moreover, the delayed effects of a one-trading-day lag through to three-trading-day lags exist from trading volume to returns and return volatility. Larger trading volume is beneficial for investors to gain returns, but it also leads to higher volatility. The implication of our findings offers a suggestion as to the opportune timing for investors to buy S&P 500 VIX Futures. |
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| Keywords: | Trading volume Volatility Threshold model GJR-GARCH S&P 500 VIX Futures |
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