The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Context of Saudi Arabia

IF 0.9 Q3 ECONOMICS

Organizations and Markets in Emerging Economies Pub Date : 2022-06-21 DOI:10.15388/omee.2022.13.79

Hanan Alhussayen

引用次数: 4

Abstract

This paper investigates the relationship between trading volume and market returns in the Saudi stock market. Daily data of number of shares traded and TASI returns from 2010 till mid-2021 are used for the same. The Granger causality test reveals a unidirectional relationship from returns to volume. This is supported by the findings of the VAR test and the Impulse Response Function (IRF) test. Trading volume does not carry informational content and cannot predict prices. Returns do impact volume, but the effect is not steady. The results do not provide support for the Sequential Information Arrival Hypothesis (SIAH). The asymmetric information model and the difference of opinion model can provide an explanation for the obtained results.

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交易量与市场收益的关系：沙特阿拉伯背景下的VAR/Granger因果关系检验方法

本文研究了沙特股市的交易量与市场收益之间的关系。从2010年到2021年中期的每日交易股票数量和TASI回报数据用于相同的数据。格兰杰因果检验显示收益与成交量呈单向关系。VAR测试和脉冲响应函数(IRF)测试的结果支持了这一点。交易量不包含信息内容，也不能预测价格。退货确实会影响交易量，但效果并不稳定。结果不支持顺序信息到达假设(SIAH)。信息不对称模型和意见分歧模型可以对所得结果进行解释。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Organizations and Markets in Emerging Economies ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： The journal aims to contribute to the development and dissemination of multidisciplinary knowledge on organizations and markets in emerging economies, to increase dialogue among scholars focused on a specific emerging economy or region and to encourage and give an outlet to high quality scholarship, both local and international, to this subject. Organizations and Markets in Emerging Economies welcomes analysis of emerging economies from the perspectives of organizational sciences, marketing, economics, finance and related disciplines. The journal appreciates studies that highlight specificities and patterns that occur in emerging economies and develop new empirical and theoretical knowledge on the subject.