Asset Details
Do you wish to reserve the book?
Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
Do you wish to request the book?
Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
2013
Overview
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange and five from the Warsaw Stock Exchange. Taking into account high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. The paper presents some patterns of causal and other relationships between stock returns, realized volatility and expected and unexpected trading volume. There is a linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. They did not find causality running in the opposite direction. In addition, the existence of fractional cointegration was examined. Despite the equality of the long memory parameters of realized volatility and trading volumes, they do not move together in the long term horizon.
