Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger. Copyright © 1993 Published by Elsevier B.V.
CitationHo, R. Y.-K., Cheung, Y.-L., & Cheung, D. W. W. (1993). Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong. Pacific-Basin Finance Journal, 1(2), 203-214.
- Stock prices
- Trading volume
- Asian market
- Hong Kong