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

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

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...

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Main Author: Maziah, Husin
Format: Thesis
Language:eng
eng
Published: 2016
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/6090/1/s814273_01.pdf
https://etd.uum.edu.my/6090/2/s814273_02.pdf
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id my-uum-etd.6090
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Tapa, Afiruddin
topic HG Finance
spellingShingle HG Finance
Maziah, Husin
Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market
description 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.
format Thesis
qualification_name masters
qualification_level Master's degree
author Maziah, Husin
author_facet Maziah, Husin
author_sort Maziah, Husin
title Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market
title_short Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market
title_full Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market
title_fullStr Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market
title_full_unstemmed Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market
title_sort granger-couse effect on trading volume and stock return volatility: evidence from malaysian ace market
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2016
url https://etd.uum.edu.my/6090/1/s814273_01.pdf
https://etd.uum.edu.my/6090/2/s814273_02.pdf
_version_ 1747828019460833280
spelling my-uum-etd.60902021-04-06T06:25:19Z Granger-couse effect on trading volume and stock return volatility: evidence from Malaysian ACE market 2016 Maziah, Husin Tapa, Afiruddin School of Economics, Finance & Banking School of Economics, Finance and Banking HG Finance 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. 2016 Thesis https://etd.uum.edu.my/6090/ https://etd.uum.edu.my/6090/1/s814273_01.pdf text eng public https://etd.uum.edu.my/6090/2/s814273_02.pdf text eng public masters masters Universiti Utara Malaysia Admati, R. A., & Pfleiderer, P. (1988). A Theory of Intraday Patterns: Volume and Price Variability. The Review of Financial Studies, 1 (1), 3-40. Ahmed, H. J. A., Hassan, A., & Nassir, M. D. A. (2005). The Relationship between Trading Volume, Volatility and Stock Market Returns: A test of Mixed Distribution Hypothesis for A Pre- and Post-Crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146-157. Ajayi, R. A., Mehdian, S., & Mougoue, M. (2006). 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