The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia

The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia

Value stocks have higher returns than growth stocks in Kuala Lumpur Composite Index from January 1, 2001 to January 1, 2009. This investigation empirically examines the relationship between monthly rates of return and trading volumes on value and growth stocks. The evidence of KLCI shows that return...

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Main Author: Kadour, Ahmad
Format: Thesis
Language:eng
Published: 2009
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/3631/1/s800016.pdf
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id my-uum-etd.3631
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
advisor Taufil Mohd, Kamarun Nisham
topic HG Finance
spellingShingle HG Finance
Kadour, Ahmad
The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia
description Value stocks have higher returns than growth stocks in Kuala Lumpur Composite Index from January 1, 2001 to January 1, 2009. This investigation empirically examines the relationship between monthly rates of return and trading volumes on value and growth stocks. The evidence of KLCI shows that returns affect volume. In addition, there is no relationship between volume trading and the types of stocks, i.e., growth or value. The Granger causality tests show that there is no causality relationship between volume and return for growth stocks. However, there is bidirectional causality relationship between volume and return for value stocks.
format Thesis
qualification_name masters
qualification_level Master's degree
author Kadour, Ahmad
author_facet Kadour, Ahmad
author_sort Kadour, Ahmad
title The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia
title_short The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia
title_full The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia
title_fullStr The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia
title_full_unstemmed The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia
title_sort relationship between trading volume and stocks' returns : value versus growth stocks in malaysia
granting_institution Universiti Utara Malaysia
granting_department College of Business (COB)
publishDate 2009
url https://etd.uum.edu.my/3631/1/s800016.pdf
_version_ 1747827615488540672
spelling my-uum-etd.36312013-11-04T03:32:34Z The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia 2009 Kadour, Ahmad Taufil Mohd, Kamarun Nisham College of Business (COB) College of Business HG Finance Value stocks have higher returns than growth stocks in Kuala Lumpur Composite Index from January 1, 2001 to January 1, 2009. This investigation empirically examines the relationship between monthly rates of return and trading volumes on value and growth stocks. The evidence of KLCI shows that returns affect volume. In addition, there is no relationship between volume trading and the types of stocks, i.e., growth or value. The Granger causality tests show that there is no causality relationship between volume and return for growth stocks. However, there is bidirectional causality relationship between volume and return for value stocks. 2009 Thesis https://etd.uum.edu.my/3631/ https://etd.uum.edu.my/3631/1/s800016.pdf text eng validuser masters masters Universiti Utara Malaysia Campbell, J., S. Grossman, and J. Wang (1993). Trading Volume and Serial Correlation in Stock Returns. Quarterly Journal of Economics, 108, 905-939. Chan, Louis K, C, Narasimhan Jegadeesh, and Josef Lakonishok, 1995, "Evaluating the Performance of Value versus Glamour Stocks: The Impact of Selection Bias," Journal of Financial Economics, vol, 38, no, 3 (July):269 296. Chen, G., M. Firth, and O. Rui (2001). The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility. The Financial Review, 38, 153-174. Chan, Louis K, C, Josef Lakonishok, and Theodore Sougiannis, 2001, "The Stock Market Valuation of Research and Development Expenditures," Journal of Finance, vol, 56, no, 6 (December):2431-56. Clark, P. (1973). 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Journal of Finance, 49, 1639-1664. Granger, C. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica , 37, 424-438. Gallant, A. R., Rossi, P. E. and Tauchen, G. E. (1992), "Stock Prices and Volume", Review of Financial Studies, Vol.5, pp.199-242. Haugen, R.A., 1997. The race between value and growth. Journal of Investing 6 (Spring), 23–31. Jain, P. and G. Joh (1988). The Dependence Between Hourly Prices and Trading Volume. Journal of Financial and Quantitative Analysis, 23, 269-283. Kamath, R., J. Sharma, and J. Chusanachoti (2005). The Stock Return-Volume Relationship in Emerging Stock Markets. Journal of International Finance and Economics,1, 30-35. Karpoff, J. (1986). A Theory of Trading Volume. Journal of Finance, 41, 1069-1088. Karpoff, J. (1987). The Relation Between Price Changes and Trading Volume: A Survey. Journal of Financial and Quantitative Analysis, 22, 109-126. Lakonishok, J., Shleifer, A.,Vishny, R.W., 1994. 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