The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Contextof Saudi Arabia
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| Format: | Artículo científico |
| Language: | en |
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Vilniaus Universitetas
2022
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| author | Hanan Alhussayen |
| author_facet | Hanan Alhussayen |
| contents | The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Contextof Saudi Arabia Hanan Alhussayen Economía y Finanzas VAR Trading volume market returns Granger causality Sequential Information Arrival Hypothesis (SIAH) This paper investigates the relationship between trading volume and market returns in the Saudi stock market. Daily data of number of shares traded and TASI returns from 2010 till mid-2021 are used for the same. The Granger causality test reveals a unidirectional relationship from returns to volume. This is supported by the findings of the VAR test and the Impulse Response Function (IRF) test. Trading volume does not carry informational content and cannot predict prices. Returns do impact volume, but the effect is not steady. The results do not provide support for the Sequential Information Arrival Hypothesis (SIAH). The asymmetric information model and the difference of opinion model can provide an explanation for the obtained results. 2022 artículo científico 2029-4581 https://www.redalyc.org/articulo.oa?id=692372942012 https://www.redalyc.org/journal/6923/692372942012/ https://www.redalyc.org/journal/6923/692372942012/html/ https://www.redalyc.org/journal/6923/692372942012/692372942012.epub https://www.redalyc.org/journal/6923/692372942012/movil https://doi.org/10.15388/omee.2022.13.79 en http://www.redalyc.org/revista.oa?id=6923 Organizations and Markets in Emerging Economies application/pdf Vilniaus Universitetas Organizations and Markets in Emerging Economies (Lituania) Num.1 Vol.13 |
| format | Artículo científico |
| id | redalyc_692372942012 |
| institution | Redalyc |
| language | en |
| publishDate | 2022 |
| publisher | Vilniaus Universitetas |
| spellingShingle | The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Contextof Saudi Arabia Hanan Alhussayen Economía y Finanzas VAR Trading volume market returns Granger causality Sequential Information Arrival Hypothesis (SIAH) The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Contextof Saudi Arabia Hanan Alhussayen Economía y Finanzas VAR Trading volume market returns Granger causality Sequential Information Arrival Hypothesis (SIAH) This paper investigates the relationship between trading volume and market returns in the Saudi stock market. Daily data of number of shares traded and TASI returns from 2010 till mid-2021 are used for the same. The Granger causality test reveals a unidirectional relationship from returns to volume. This is supported by the findings of the VAR test and the Impulse Response Function (IRF) test. Trading volume does not carry informational content and cannot predict prices. Returns do impact volume, but the effect is not steady. The results do not provide support for the Sequential Information Arrival Hypothesis (SIAH). The asymmetric information model and the difference of opinion model can provide an explanation for the obtained results. 2022 artículo científico 2029-4581 https://www.redalyc.org/articulo.oa?id=692372942012 https://www.redalyc.org/journal/6923/692372942012/ https://www.redalyc.org/journal/6923/692372942012/html/ https://www.redalyc.org/journal/6923/692372942012/692372942012.epub https://www.redalyc.org/journal/6923/692372942012/movil https://doi.org/10.15388/omee.2022.13.79 en http://www.redalyc.org/revista.oa?id=6923 Organizations and Markets in Emerging Economies application/pdf Vilniaus Universitetas Organizations and Markets in Emerging Economies (Lituania) Num.1 Vol.13 |
| title | The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Contextof Saudi Arabia |
| topic | Economía y Finanzas VAR Trading volume market returns Granger causality Sequential Information Arrival Hypothesis (SIAH) |
| url | https://www.redalyc.org/articulo.oa?id=692372942012 https://www.redalyc.org/journal/6923/692372942012/ https://www.redalyc.org/journal/6923/692372942012/html/ https://www.redalyc.org/journal/6923/692372942012/692372942012.epub https://www.redalyc.org/journal/6923/692372942012/movil https://doi.org/10.15388/omee.2022.13.79 |