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- W2279461983 abstract "The main theme of the paper is to analyze whether the size has any effect on return-volume relationship. It also examines the casual relationship between returns and trading volume. The study also examines the duration of impact of stock returns on trading volume and the trading volume on stock price and the impact of size on this relationship. Further, the study also looks at the role of the trading volume in predicting the returns and the role of returns in predicting the trading volume. The study has employed the VAR (Vector Auto Regression) framework for the analysis along with Granger Causality/Block Exogeneity Wald Tests, Impulse response function and Variance Decomposition analysis. The study shows that the returns cause the trading volume. As size decreases, there is a bidirectional causality between returns and volume. After subprime crisis the causal relationship between returns and volume is almost nonexistent. The duration of impact is more prominent as the size decreases. The study also shows that size is not having an impact on the information content of variables. The information content is extremely important during crisis period." @default.
- W2279461983 created "2016-06-24" @default.
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- W2279461983 date "2012-08-10" @default.
- W2279461983 modified "2023-09-26" @default.
- W2279461983 title "Stock Returns and Trading Volume: Does the Size Matter?" @default.
- W2279461983 hasPublicationYear "2012" @default.
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