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Common features between stock returns and trading volume

Author

Listed:
  • Marta Regulez
  • Ainhoa Zarraga

Abstract

This article tests for the existence of features shared in common by daily stock returns and trading volume contributing to the empirical analysis of the relation between those series. Using Spanish data this study analyses this hypothesis looking at features such as seasonality, skewness, kurtosis, non normality and serial correlation. This study finds that monthly seasonalities and distributional features such as skewness are driven by a common factor in stock returns and volume. This study also finds a non-synchronized comovement between the cycles of both variables.

Suggested Citation

  • Marta Regulez & Ainhoa Zarraga, 2002. "Common features between stock returns and trading volume," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 885-893.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:885-893
    DOI: 10.1080/09603100110053317
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    Cited by:

    1. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology.
    2. Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.
    3. Stephen Keef & Melvin Roush, 2007. "Daily weather effects on the returns of Australian stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 173-184.
    4. Carroll, Rachael & Kearney, Colm, 2015. "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 1-14.

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