Return-Volume Relation in the Tail: Evidence from Six Emerging Markets

Columbia Business School Working Paper

53 Pages Posted: 10 Nov 2001

See all articles by Rong Qi

Rong Qi

ING Aeltus Asset Management

Date Written: March 2001

Abstract

This paper provides empirical evidence about daily return and trading volume relation for six emerging markets, including Argentina, Chile, Malaysia, Mexico and Thailand. I use bivariate threshold theory to explicitly model the joint distribution of absolute return and trading volume. I find overall a positive correlation between absolute return and trading volume. Five out of six countries have weaker but still significant correlations based on the observations exceeding optimal thresholds. I also find for all the six countries, the return and volume relation is asymmetry, i.e., the correlation associated with positive return and volume is greater than the correlation between negative return and volume. For four out of six countries in the sample, the results from the bivariate threshold model show that during extreme price movement, this asymmetry correlation still holds.

Keywords: trading volume, extreme value theory

JEL Classification: C0

Suggested Citation

Qi, Rong, Return-Volume Relation in the Tail: Evidence from Six Emerging Markets (March 2001). Columbia Business School Working Paper, Available at SSRN: https://ssrn.com/abstract=290001 or http://dx.doi.org/10.2139/ssrn.290001

Rong Qi (Contact Author)

ING Aeltus Asset Management ( email )

10 State House Square
Hartford, CT 06457
United States

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