The stock
price-volume relationship in emerging stock markets: the case of Latin America.
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.
An examination of the price-volume relationship in the option markets.
However the study of price-volume relationship has so far been largely limited to straight stocks--the use of spot trading volume as a predictor of single stock futures trading volume has not been studied much.
However, using VAR analysis and testing for Granger causality, they failed to find evidence of such a price-volume relationship.
1998), "The Stock Price-Volume Relationship in Emerging Stock Markets: The Case of Latin America" International Journal of Forecasting, Vol.
Starks, "The Stock Price-Volume Relationship in Emerging Stock Markets: The Case of Latin America," International Journal of Forecasting, 14, 1998, 215-225.
An Empirical Analysis of the Stock Price-Volume Relationship.
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.
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).
