Volume and Skewness in International Equity Markets
32 Pages Posted: 8 Jun 2005 Last revised: 26 Feb 2009
We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and support the investor heterogeneity approach to explaining return asymmetries.
Keywords: International stock markets, skewness, volume, VAR
JEL Classification: C14, F31, G12, G15
Suggested Citation: Suggested Citation