Revisiting the returns-volume relationship: Time variation, alternative measures and the financial crisis

Cook, Steve and Watson, Duncan (2017) Revisiting the returns-volume relationship: Time variation, alternative measures and the financial crisis. Physica A: Statistical Mechanics and Its Applications, 470. 228–235. ISSN 0378-4371

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    Abstract

    Following its introduction in the seminal study of Osborne (1959), a voluminous literature has emerged examining the returns-volume relationship for financial assets. The present paper revisits this relationship in an examination of the FTSE100 which extends the existing literature in two ways. First, alternative daily measures of the FTSE100 index are used to create differing returns and absolute returns series to employ in an examination of returns-volume causality. Second, rolling regression analysis is utilised to explore potential time variation in the returns-volume relationship. The findings obtained depict a hitherto unconsidered complexity in this relationship with the type of returns series considered and financial crisis found to be significant underlying factors. The implications of the newly derived results for both the understanding of the nature of the returns-volume relationship and the development of theories in connection to it are discussed.

    Item Type: Article
    Uncontrolled Keywords: returns,trading volume,casusality,financial crisis
    Faculty \ School: Faculty of Social Sciences > School of Economics
    Related URLs:
    Depositing User: Pure Connector
    Date Deposited: 29 Nov 2016 00:01
    Last Modified: 09 Apr 2019 11:43
    URI: https://ueaeprints.uea.ac.uk/id/eprint/61510
    DOI: 10.1016/j.physa.2016.11.087

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