Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong

Richard Yan Ki HO, Yan Leung Stephen CHEUNG, Daniel W. W. CHEUNG

Research output: Contribution to journalArticles

7 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)203-214
JournalPacific-Basin Finance Journal
Volume1
Issue number2
DOIs
Publication statusPublished - May 1993

Citation

Ho, 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.

Keywords

  • Intraday
  • Stock prices
  • Trading volume
  • Asian market
  • Hong Kong
  • Causality

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