Price changes and trading volume relationship in the Hong Kong stock market |
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Authors: | K Lam W K Li P S Wong |
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Institution: | (1) the Department of Statistics of University of Hong Kong, China |
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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. |
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