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1、EFAEasternFinancialTheFinanceReviewAssociationTheFinancialReview38(2001)153-174TheDynamicRelationBetweenStockReturns,TradingVolume,andVolatilityGong-mengChenMichaelFirth*OliverM.RuiTheHongKongPolytechnicUniversityAbstractWeexaminethedynamicrelationbetweenreturns,volu
2、me,andvolatilityofstockindexes.Thedatacomefromninenationalmarketsandcovertheperiodfrom1973to2000.Theresultsshowapositivecorrelationbetweentradingvolumeandtheabsolutevalueofthestockpricechange.Grangercausalitytestsdemonstratethatforsomecountries,returnscausevolumeandv
3、olumecausesreturns.Ourresultsindicatethattradingvolumecontributessomeinformationtothereturnsprocess.Theresultsalsoshowpersistenceinvolatilityevenafterweincorporatecontemporaneousandlaggedvolumeeffects.Theresultsarerobustacrosstheninenationalmarkets.Keywords:stockinde
4、xreturns,tradingvolume,volatility,EGARCHJELClassification:G151.IntroductionOurpurposeinthispaperistoempiricallyexaminethedynamic(causal)relationbetweenstockmarketreturns,tradingvolume,andvolatilityinninemajornationalstockmarkets.Mostpreviousempiricalresearchhasusedda
5、tafromtheUnitedStates,butrelativelylittleworkhasbeenconductedonothernationalmarkets.Ourstudyseekstoremedythissituation.*Correspondingaurhor:DepartmentofAccountancy,TheHongKongPolytechnicUniversity,HungHom,HongKong,China;Phone:(852)27667062;Fax:(852)23309845;Email:acm
6、af@inet.polyu.edu.hkMr.RuigratefullyacknowledgesthefinancialsupportfromtheHongKongPolytechnicUniversity(AccountNo.G-YC26).Theauthorsthankananonymousrefereeforhelpfulcomments.153154G.Chen,M.Firth,0.Rui/TheFinancialReview38(2001)153-174Ourinitialanalysiscentersonthevol
7、umeandpricechangerelation.Clark(1973)andLamoureuxandLastrapes(1990,1994)linkpricevolatilitywiththeunderlyinginformationflowinthemarkets,andusevolumeasameasureoftheinformationflow.Thesestudiesformthebasisofourfirsthypothesis,whichexam-inesthereasonsforthevolumeandstoc
8、kreturnrelation.Wetestasecondhypothesisinwhichtheformationofreturnsisconditionalonvariousinformationarrivalsthatallaffecttradingvol
