Abstract
In this study the joint dynamics between stock prices and trading volume are investigated using data from the German stock market. Our results indicate no relations (contemporaneous as well as dynamic) between return levels and trading volume but strong linkages between return volatility and volume data. On including trading volume in the conditional volatility framework (GARCH-type) we provide empirical evidence for the importance of volume data as an indicator for the flow of information on the market. Applying Granger’s test for causality we detect also feedback relations between trading volume and return volatility. These findings corroborate our assumption that trading volume indirectly contains information about stock prices due to its relation to return volatility.
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© 2005 Springer-Verlag Berlin Heidelberg
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Mestel, R., Gurgul, H., Majdosz, P. (2005). On the Empirical Linkages between Stock Prices and Trading Activity on the German Stock Market. In: Fleuren, H., den Hertog, D., Kort, P. (eds) Operations Research Proceedings 2004. Operations Research Proceedings, vol 2004. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-27679-3_36
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DOI: https://doi.org/10.1007/3-540-27679-3_36
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-24274-1
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