The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange

This paper presents an empirical analysis of the relationship between trading volume, returns and volatility on the Main Board of Kuala Lumpur Stock Exchange. The findings in this paper help to explain how returns are generated and the implications for inferring return behavior from trading volume d...

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Main Authors:	Izani Ibrahim, Yaccob Othman
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2000
Online Access:	http://journalarticle.ukm.my/1742/ http://journalarticle.ukm.my/1742/ http://journalarticle.ukm.my/1742/1/1464-2747-1-SM.pdf

id	ukm-1742
recordtype	eprints
spelling	ukm-17422016-12-14T06:30:08Z http://journalarticle.ukm.my/1742/ The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange Izani Ibrahim, Yaccob Othman, This paper presents an empirical analysis of the relationship between trading volume, returns and volatility on the Main Board of Kuala Lumpur Stock Exchange. The findings in this paper help to explain how returns are generated and the implications for inferring return behavior from trading volume data. It provides evidence for the positive relationship between trading volume and volatility. The asymmetric relationship which is hypothesised to exist due to the differential cost of taking long and short positions is evident through the smaller slope for negative return in the volume-price change relationship. This paper also studies the relationship at individual stock level. Consistent with the belief of non-normality in returns (and ARCH effects) through the rate of arrival of information, the study shows that there is a reduction in the significance and magnitude of persistence in volatility Penerbit Universiti Kebangsaan Malaysia 2000-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1742/1/1464-2747-1-SM.pdf Izani Ibrahim, and Yaccob Othman, (2000) The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange. Jurnal Pengurusan, 19 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This paper presents an empirical analysis of the relationship between trading volume, returns and volatility on the Main Board of Kuala Lumpur Stock Exchange. The findings in this paper help to explain how returns are generated and the implications for inferring return behavior from trading volume data. It provides evidence for the positive relationship between trading volume and volatility. The asymmetric relationship which is hypothesised to exist due to the differential cost of taking long and short positions is evident through the smaller slope for negative return in the volume-price change relationship. This paper also studies the relationship at individual stock level. Consistent with the belief of non-normality in returns (and ARCH effects) through the rate of arrival of information, the study shows that there is a reduction in the significance and magnitude of persistence in volatility
format	Article
author	Izani Ibrahim, Yaccob Othman,
spellingShingle	Izani Ibrahim, Yaccob Othman, The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
author_facet	Izani Ibrahim, Yaccob Othman,
author_sort	Izani Ibrahim,
title	The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
title_short	The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
title_full	The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
title_fullStr	The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
title_full_unstemmed	The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
title_sort	relationship between trading volume, returns and volatility in the kuala lumpur stock exchange
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2000
url	http://journalarticle.ukm.my/1742/ http://journalarticle.ukm.my/1742/ http://journalarticle.ukm.my/1742/1/1464-2747-1-SM.pdf
first_indexed	2023-09-18T19:34:12Z
last_indexed	2023-09-18T19:34:12Z
_version_	1777405162061561856

The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange

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