Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong
Author(s)
Author(s)
Ho, R. Y. K.
Cheung, D. W. W.
Date Issued
1993
Publisher
Elsevier
Journal
Pacific-Basin Finance Journal
Volume
1
Issue
2
Start page
203
End page
214
Abstract
Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger.
SFU Affiliated Publication
No
Availability at SFU Library
No database links found.