Price changes and trading volume relationship in the Hong Kong stock market

K. LAM, Wai Keung LI, P. S. WONG

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

Studies on the relationship between price changes and trading volume can provide insight into the structure of the financial market. In this paper, we will study the above topic and concentrate on the stock market of Hong Kong. The correlation between price changes and trading volume as well as that between the magnitude of price changes and trading volume will be examined. We will also check the asymmetry of the price changes and volume relationship. Moreover, we will investigate the relationship between the variance of return and trading volume. Finally, the Granger causality test of price changes and volume will be performed. Copyright © 1990 School of Management National University of Singapore.
Original languageEnglish
Pages (from-to)25-42
JournalAsia Pacific Journal of Management
Volume7
Issue number2
DOIs
Publication statusPublished - Dec 1990

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Trading volume
Hong Kong stock market
Price changes
Hong Kong
Granger causality test
Stock market
Asymmetry
Financial markets

Citation

Lam, K., Li, W. K., & Wong, P. S. (1990). Price changes and trading volume relationship in the Hong Kong stock market. Asia Pacific Journal of Management, 7(2), 25-42. doi: 10.1007/BF01951477

Keywords

  • Stock market
  • Financial market
  • Price change
  • Trading volume
  • Granger causality