Abstract

http://ssrn.com/abstract=2430537
 


 



A Comparative Analysis on the Volume-Return Relationship of the ETF and Stock Market


Jung-Chu Lin


Takming University of Science and Technology - Department of Banking and Finance

Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

April 28, 2014


Abstract:     
This paper aims to examine the contemporaneous relationship between trading volume and returns in the ETF market taking the stock market as a contrast. While past research using correlation analysis and OLS method to specify a linear regression model only catches the average relationship between volume and return, this paper applies the quantile regression analysis to provide a more complete description for the volume-return relationship in the ETF and stock markets. The empirical results show that a symmetric volume-return relationship is found in the ETF market and an asymmetric volume-relationship, however, is discovered in the stock market. The volume-return relationship of the stock market has become more symmetric after the exempt for some stock from the short-sale restriction. The results demonstrate that the transaction cost and the short-sale restriction are important factors to influence the patter of volume-return relationship.

Number of Pages in PDF File: 28

Keywords: Trading volume, return, quantile regression

JEL Classification: G12, G14

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Date posted: April 29, 2014 ; Last revised: May 4, 2014

Suggested Citation

Lin, Jung-Chu and Sum, Vichet, A Comparative Analysis on the Volume-Return Relationship of the ETF and Stock Market (April 28, 2014). Available at SSRN: http://ssrn.com/abstract=2430537 or http://dx.doi.org/10.2139/ssrn.2430537

Contact Information

Jung-Chu Lin
Takming University of Science and Technology - Department of Banking and Finance ( email )
Taipei City, 11451
Taiwan
Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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