The stock price-volume relationship
in emerging stock markets: the case of Latin America.
Jones, Testing for linear and non-linear Granger causality in the stock price-volume relationship
, Journal of Finance (49 : 1994)
Using multiple linear regression analysis, Long (2007) presents evidences for the options market that duplicate existing statistics for a price-volume relationship in equity markets.
However, although these above-quoted papers were important in the development of theory and methodology in the analysis of the price-volume relationship, none dealt with that relationship in an international setting or in a situation in which the influence of a significant share of a market's volume had been considered.
To the extent that the object of this line of research is to uncover the generating mechanism governing the price-volume relationship, aggregation in this context can only obscure the underlying mechanism which governs the relationship between [absolute value of [Delta]P] and V.
107) put the point more succinctly: "Using daily data still leaves the price-volume relationship exposed to the weakening influence of the fact that, between open and close, the market could move violently up and down in response to heavy volume while, over the day as a whole, recording a fairly small overall change to match the heavy volume."
Two hypotheses attempt to account for the existence of the price-volume relationship
. The "mixture of distributions" hypothesis suggests that a price-volume relationship
exists due to a dependence, by both volume and price, on some common directing event or variable (Clarke, 1973).