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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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    Cited by:

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    2. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
    3. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479-500, December.
    4. Kim, Jong-Min & Jung, Hojin, 2017. "Can asymmetric conditional volatility imply asymmetric tail dependence?," Economic Modelling, Elsevier, vol. 64(C), pages 409-418.
    5. Alizadeh, Amir H. & Tamvakis, Michael, 2016. "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, vol. 56(C), pages 134-149.
    6. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
    7. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 422-444.
    8. Rau, Tomás & Sarzosa, Miguel & Urzúa, Sergio, 2021. "The children of the missed pill," Journal of Health Economics, Elsevier, vol. 79(C).
    9. Rashmi Ranjan Paital, 2015. "Is price-volume relationship asymmetry? Intraday evidence from Indian stock market," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 5(9), pages 152-159, September.
    10. Chen, Cathy W.S. & Yang, Ming Jing & Gerlach, Richard & Jim Lo, H., 2006. "The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 401-418.
    11. Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
    12. 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.
    13. Vespignani, Joaquin L., 2012. "Modelling asymmetric consumer demand response: Evidence from scanner data," MPRA Paper 55601, University Library of Munich, Germany.
    14. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, January.
    15. Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021. "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 25-42, March.
    16. Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.
    17. Hao-Chang Yang & Ferry Syarifuddin & Chun-Ping Chang & Hai-Jie Wang, 2022. "The Impact of Exchange Rate Futures Fluctuations on Macroeconomy: Evidence from Ten Trading Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(8), pages 2300-2313, June.

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