Testing the price-volume relation in emerging Asian stock markets
- 作者：Moosa ; Imad A. ; Al-Loughani ; Nabeel E.
- 刊名：Journal of Asian Economics
- 出版年：1995
- 期刊代码：29_10490078
- 类别：eco
- 出版时间：Autumn, 1995
- 卷：6
- 期：3
- 页码：407-422
- 文件大小：1.20 M
摘要
The price-volume relation is tested using data for four emerging Asian stock markets: Malaysia, the Philippines, Singapore, and Thailand. Evidence is found for causality from volume to absolute price changes and from price changes per se to volume. Some evidence is also found for bidirectional causality. Another finding is that the relation is contemporaneous, lagged, positive and sensitive to institutional, organizational, and structural factors. Nonlinear specifications do not seem to be superior to linear causality models.