An empirical analysis of the stock price-volume relationship |
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| Institution: | 1. College of Finance and Statistics and Center for Post-Doctoral Studies of Applied Economics, Hunan University, Changsha 410006, China;2. College of Finance and Statistics, Hunan University, Changsha 410006, China;3. School of Economics, Chung-Ang University, 84 Heukseok-Ro, Dongjak-Gu, Seoul, South Korea |
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| Abstract: | This paper investigates the empirical relationship between absolute stock price changes and trading volume in the stock market. Using Granger causality tests we find that there is a significant causal relationship between absolute price changes and volume at the firm level and that this relationship is stronger in periods surrounding earnings announcements. We view this as suggesting that information arrival follows a sequential rather than a simultaneous process, although the results do not support an extreme version of either information arrival model. |
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