The impact of economic shocks on stock return and trading volume relationship

The impact of economic shocks on stock return and trading volume relationship

This study analyzed the relationship between trading volume and stock return in the Main Market of Bursa Malaysia from April 2009 to October 2018, and ACE market from April 2000 to October 2018. The relationship was then re-examined surrounding four exogenous shocks in macro events. The first two...

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Main Author: Lee, Jih Shin
Format: Thesis
Language:eng
eng
eng
Published: 2018
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/7380/1/Depositpermission_s823067.pdf
https://etd.uum.edu.my/7380/2/s823067_01.pdf
https://etd.uum.edu.my/7380/3/s823067_02.pdf
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id my-uum-etd.7380
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
eng
advisor Wong, Woei Chyuan
topic HG Finance
spellingShingle HG Finance
Lee, Jih Shin
The impact of economic shocks on stock return and trading volume relationship
description This study analyzed the relationship between trading volume and stock return in the Main Market of Bursa Malaysia from April 2009 to October 2018, and ACE market from April 2000 to October 2018. The relationship was then re-examined surrounding four exogenous shocks in macro events. The first two shocks, standardization of lot size, and the global financial crisis were only applicable to the Main Market only while two other shocks, the oil price shock, and the 14th Malaysian general election were applicable to both market. Granger-causality test showed a significant bidirectional relationship between trading volume and stock return. Results of the ordinary least squares (OLS) further revealed that there was a positive and significant relationship between trading volume and stock return. This positive relationship is consistent with the sequential arrival of information model and the mixture of distribution hypothesis model (MDH). The positive relationship generally was held for the period before and after the economic shocks related to the standardization of lot size, the global financial crisis, and the oil price shock. The stock return-volume relationship was, however, significantly weaker during the global financial period and became insignificant during the 14th Malaysia general election in the Main Market. The findings of a weaker stock return-trading volume relationship are consistent with the MDH. Overall, the significant positive stock return-volume relationship for the overall and subsamples of economic shock events implied that when the investors observed an increase in the trading volume, they start to invest in the stock as the stock returns also increased due to the positive stock return-volume relationship. The stock return-volume relationship can help in the investor’s investment decisions.
format Thesis
qualification_name masters
qualification_level Master's degree
author Lee, Jih Shin
author_facet Lee, Jih Shin
author_sort Lee, Jih Shin
title The impact of economic shocks on stock return and trading volume relationship
title_short The impact of economic shocks on stock return and trading volume relationship
title_full The impact of economic shocks on stock return and trading volume relationship
title_fullStr The impact of economic shocks on stock return and trading volume relationship
title_full_unstemmed The impact of economic shocks on stock return and trading volume relationship
title_sort impact of economic shocks on stock return and trading volume relationship
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2018
url https://etd.uum.edu.my/7380/1/Depositpermission_s823067.pdf
https://etd.uum.edu.my/7380/2/s823067_01.pdf
https://etd.uum.edu.my/7380/3/s823067_02.pdf
_version_ 1747828209446027264
spelling my-uum-etd.73802021-08-09T08:32:20Z The impact of economic shocks on stock return and trading volume relationship 2018 Lee, Jih Shin Wong, Woei Chyuan School of Economics, Finance & Banking School of Economics, Finance and Banking HG Finance This study analyzed the relationship between trading volume and stock return in the Main Market of Bursa Malaysia from April 2009 to October 2018, and ACE market from April 2000 to October 2018. The relationship was then re-examined surrounding four exogenous shocks in macro events. The first two shocks, standardization of lot size, and the global financial crisis were only applicable to the Main Market only while two other shocks, the oil price shock, and the 14th Malaysian general election were applicable to both market. Granger-causality test showed a significant bidirectional relationship between trading volume and stock return. Results of the ordinary least squares (OLS) further revealed that there was a positive and significant relationship between trading volume and stock return. This positive relationship is consistent with the sequential arrival of information model and the mixture of distribution hypothesis model (MDH). The positive relationship generally was held for the period before and after the economic shocks related to the standardization of lot size, the global financial crisis, and the oil price shock. The stock return-volume relationship was, however, significantly weaker during the global financial period and became insignificant during the 14th Malaysia general election in the Main Market. The findings of a weaker stock return-trading volume relationship are consistent with the MDH. Overall, the significant positive stock return-volume relationship for the overall and subsamples of economic shock events implied that when the investors observed an increase in the trading volume, they start to invest in the stock as the stock returns also increased due to the positive stock return-volume relationship. The stock return-volume relationship can help in the investor’s investment decisions. 2018 Thesis https://etd.uum.edu.my/7380/ https://etd.uum.edu.my/7380/1/Depositpermission_s823067.pdf text eng public https://etd.uum.edu.my/7380/2/s823067_01.pdf text eng public https://etd.uum.edu.my/7380/3/s823067_02.pdf text eng public masters masters Universiti Utara Malaysia Alrawashideh N. M. S. (2009). The Relation Between Average Stock Return to Earning Ratio and Book to Market Ratio in FTSEBM. (Unpublished master’s thesis). University Utara Malaysia, Malaysia. Andreassen. P. B. (1988). 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The Price Variability-Volume Relationship On Speculative Markets.Econometrica, Vol-51, 485-505. Wang K. and Yang H. (2018). The Price-Volume Relationship Caused by Asset Allocation Based on Kelly Criterion. Journal of Physica A 503, 1-8. Yuan. Y, Zhuang. X. Liu Z. (2012). Price-Volume Multifractal Analysis and Its Application in Chinese Stock Markets. Physica A 391, 3484-3495. Zhang X. F. (2006), “Information Uncertainty and Stock Returns”, Volume 61, Issue 1, p.p 105-137.

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