Volume and skewness in international equity markets |
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| Authors: | Elaine Hutson Colm Kearney Margaret Lynch |
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| Affiliation: | 1. University College Dublin, Michael Smurfit Graduate School of Business, Blackrock, Co. Dublin, Ireland;2. Business School and Institute for International Integration Studies, Trinity College Dublin, Dublin 2, Ireland |
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| Abstract: | We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries. |
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| Keywords: | C14 F31 G12 G15 |
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