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Testing for Temporal Asymmetry in the Price‐Volume Relationship

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  • Imad A. Moosa
  • Param Silvapulle
  • Mervyn Silvapulle

Abstract

This paper presents some evidence for the presence of temporal asymmetry in the price‐volume relationship in the crude oil futures market. By using threshold models we show that there is bidirectional causality between volume and prices, whereas the conventional model that assumes symmetry can only detect unidirectional causality. The results also show that the price‐volume relationship is asymmetric, in the sense that negative price and volume changes have stronger effects (on each other) than positive changes. Some explanations for asymmetry in the price‐volume relationship are suggested.

Suggested Citation

  • Imad A. Moosa & Param Silvapulle & Mervyn Silvapulle, 2003. "Testing for Temporal Asymmetry in the Price‐Volume Relationship," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 373-389, October.
    • Handle: RePEc:bla:buecrs:v:55:y:2003:i:4:p:373-389
    DOI: 10.1111/1467-8586.00182
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    References listed on IDEAS

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    3. Wang, Dong-Hua & Suo, Yuan-Yuan & Yu, Xiao-Wen & Lei, Man, 2013. "Price–volume cross-correlation analysis of CSI300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1172-1179.
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