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Volume and Skewness in International Equity Markets

Journal of Banking and Finance, Vol. 32, No. 7, 2008

IIIS Discussion Paper No. 43

32 Pages Posted: 8 Jun 2005 Last revised: 26 Feb 2009

See all articles by Elaine Hutson

Elaine Hutson

Monash University - Dept of Banking and Finance; Financial Research Network (FIRN)

Colm Kearney

Monash University - Monash Business School

Margaret Lynch

Trinity College (Dublin) - Institute for International Integration Studies (IIIS)

Abstract

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

Hutson, Elaine and Kearney, Colm and Lynch, Margaret, Volume and Skewness in International Equity Markets. Journal of Banking and Finance, Vol. 32, No. 7, 2008, IIIS Discussion Paper No. 43, Available at SSRN: https://ssrn.com/abstract=739133 or http://dx.doi.org/10.2139/ssrn.739133

Elaine Hutson

Monash University - Dept of Banking and Finance ( email )

PO Box 197
Caulfield East, Victoria 3145
Australia
+61399032110 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Colm Kearney (Contact Author)

Monash University - Monash Business School ( email )

Sir John Monash Drive
Caulfield
Melbourne, Victoria 3168
Australia
+353399031021 (Phone)

Margaret Lynch

Trinity College (Dublin) - Institute for International Integration Studies (IIIS) ( email )

The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland

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