The Stock Return - Trading Volume Relationship in European Countries : Evidence from Asymmetric Impulse Responses

Lade...
Vorschaubild
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2014
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Auflagebezeichnung
DOI (zitierfähiger Link)
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published
Erschienen in
Zusammenfassung

We investigate non-linearities in the stock return - trading volume relationship by using daily data for 16 European countries in an asymmetric vector autoregressive model. In this framework, we test for asymmetries and analyze the dynamic relationship using a simulation based procedure for computing asymmetric impulse response functions. We find that stock returns have a significant influence on trading volume, but there is no evidence for the influence of trading volume on returns. Our analysis indicates that responses of trading volume to return shocks are non-linear and the sign of the response depends on the absolute size of the shock. Thus, using linear VAR models may lead to wrong conclusions concerning the return - volume relationship. We also find that after stock markets go up (down), investors trade significantly more (less) in small and mid cap stocks, supporting evidence for the theories of overconfidence, market participation, differences of opinion, and disposition effect.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
asymmetric vector autoregression, asymmetric impulse response functions, stock return, trading volume
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690BRÜGGEMANN, Ralf, Markus GLASER, Steffen SCHAARSCHMIDT, Sandra STANKIEWICZ, 2014. The Stock Return - Trading Volume Relationship in European Countries : Evidence from Asymmetric Impulse Responses
BibTex
@techreport{Bruggemann2014Stock-29888,
  year={2014},
  series={Working Paper Series / Department of Economics},
  title={The Stock Return - Trading Volume Relationship in European Countries : Evidence from Asymmetric Impulse Responses},
  number={2014-24},
  author={Brüggemann, Ralf and Glaser, Markus and Schaarschmidt, Steffen and Stankiewicz, Sandra}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/29888">
    <dc:creator>Glaser, Markus</dc:creator>
    <dc:contributor>Schaarschmidt, Steffen</dc:contributor>
    <dcterms:title>The Stock Return - Trading Volume Relationship in European Countries : Evidence from Asymmetric Impulse Responses</dcterms:title>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/29888"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:contributor>Glaser, Markus</dc:contributor>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dc:language>eng</dc:language>
    <dc:creator>Brüggemann, Ralf</dc:creator>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-02-19T10:56:49Z</dc:date>
    <dcterms:abstract xml:lang="eng">We investigate non-linearities in the stock return - trading volume relationship by using daily data for 16 European countries in an asymmetric vector autoregressive model. In this framework, we test for asymmetries and analyze the dynamic relationship using a simulation based procedure for computing asymmetric impulse response functions. We find that stock returns have a significant influence on trading volume, but there is no evidence for the influence of trading volume on returns. Our analysis indicates that responses of trading volume to return shocks are non-linear and the sign of the response depends on the absolute size of the shock. Thus, using linear VAR models may lead to wrong conclusions concerning the return - volume relationship. We also find that after stock markets go up (down), investors trade significantly more (less) in small and mid cap stocks, supporting evidence for the theories of overconfidence, market participation, differences of opinion, and disposition effect.</dcterms:abstract>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/29888/3/Brueggemann_0-276529.pdf"/>
    <dc:contributor>Stankiewicz, Sandra</dc:contributor>
    <dcterms:issued>2014</dcterms:issued>
    <dc:creator>Stankiewicz, Sandra</dc:creator>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Brüggemann, Ralf</dc:contributor>
    <dc:creator>Schaarschmidt, Steffen</dc:creator>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/29888/3/Brueggemann_0-276529.pdf"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-02-19T10:56:49Z</dcterms:available>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen