文章基本信息

标题：Information flow between return and trading volume in Malaysian futures market
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作者：Wee-Yeap Lau ; You-How Go
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2012
卷号：6
期号：32
页码：9326-9334
DOI：10.5897/AJBM11.893
语种：English
出版社：Academic Journals
摘要：This paper examined the causal effect between return and trading volume using Kuala Lumpur options and financial futures exchange (KLOFFE) daily data from 1995 to 2009. With univariate autoregressive generalized autoregressive conditional heteroscedasticity (AR-GARCH) model, the cross-correlation function (CCF) indicated that there is causality in mean from lag one of trading volume to return, which suggests significant changes in volume in previous day, may result in either a positive or negative shift to the current price. In order to examine the presence of three information arrival theories in futures market, an augmented AR-GARCH model with relevant lags was used. Notably, it is found that dependence causality in mean and variance from trading volume to return has disappeared. This implies that information spillover is not present in the interaction of price and volume. In conclusion, a reasonable thesis to support this result is the existence of noise traders’ hypothesis in Malaysian futures market.
关键词：Price-volume dynamics; dependence causality; causality-in-variance; cross correlation; GARCH model