UUM ETD | Universiti Utara Malaysian Electronic Theses and Dissertation
FAQs | Feedback | Search Tips | Sitemap

Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market

Maziah, Husin (2016) Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market. Masters thesis, Universiti Utara Malaysia.

[img] Text
s814273_01.pdf
Restricted to Registered users only

Download (3MB)
[img]
Preview
Text
s814273_02.pdf

Download (3MB) | Preview

Abstract

This study analyzes the relationship between trading volume and stock return in Malaysian ACE market for the period of August, 2009 to December, 2015. Several tests were utilized; multivariate time series regression model; Brailsford model; VAR analysis, and; Granger-cause test. The empirical result proves a significant positive contemporaneous relationship between trading volume and stock return and vice versa. However, trading volume has negative significant relationship with stock return volatility, thus exhibits an asymmetry relationship between the variables. VAR analysis reveals that past trading volume has explanatory power in forecasting stock return and vice versa. And lastly, Granger-causality test indicates a significant bi-directional relationship between trading volume and stock return. Thus, it is proven that Malaysian ACE market is contradicted with the weak-form of efficient market hypothesis.

Item Type: Thesis (Masters)
Uncontrolled Keywords: trading volume, stock return, vector autoregressive model, Grangercausality test, Malaysian ACE market
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Mr. Badrulsaman Hamid
Date Deposited: 08 Mar 2017 17:55
Last Modified: 08 Mar 2017 17:55
URI: http://etd.uum.edu.my/id/eprint/6090

Actions (login required)

View Item View Item