Abstract
This paper explores the causal relationship between stock prices and volume figures for stock markets in the Czech Republic, Hungary, Poland, Russia, and Turkey. Prior to running causality tests, the time series properties of the data are carefully investigated and special attention is given to the choice of optimal lag order. Granger causality tests, based on the Toda-Yamamoto (1995) procedure, reveal that there is no causal relationship between the variables in the Czech Republic. In Hungary, there is a bidirectional causality irrespective of volume or market turnover tested. In Poland, while there is bidirectional causality between stock prices and volume, there exists a unidirectional causality running from market turnover to stock prices. The stock prices unidirectionally cause both volume and market turnover without any feedback in the case of Russia and Turkey. These results have important implications regarding market efficiency and the effects of different market characteristics on the stock price/volume relation.
| Original language | English |
|---|---|
| Pages (from-to) | 29-44 |
| Number of pages | 16 |
| Journal | Emerging Markets Finance and Trade |
| Volume | 41 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2005 |
| Externally published | Yes |
Keywords
- Eastern Europe
- Granger noncausality test
- Market turnover
- Stock prices
- Toda-Yamamoto procedure
- Turkey
- Volume
ASJC Scopus subject areas
- Finance
- Economics, Econometrics and Finance(all)