The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market

Detalhes bibliográficos
Autor(a) principal: Medeiros, Otávio Ribeiro de
Data de Publicação: 2008
Outros Autores: Doornik, Bernardus Ferdinandus Nazar Van
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/447
Resumo: We investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH and VAR models, and Granger causality tests. We find support for a contemporaneous as well as a dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. Besides, our results indicate that contemporaneous and dynamic relationships between return volatility and trading volume also exist. Additionally, by applying Granger’s causality test, we find that return volatility contains information about upcoming trading volume and vice versa.
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spelling The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock MarketA Relação Empírica entre Dividendos, Volatilidade de Retornos e Volume de Negócios no Mercado de Ações Brasileiroreturn volatilitytrading volumeGARCHVARGranger causalitydividendosvolatilidade de retornosvolume de negóciosGARCHVARcausalidade GrangerWe investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH and VAR models, and Granger causality tests. We find support for a contemporaneous as well as a dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. Besides, our results indicate that contemporaneous and dynamic relationships between return volatility and trading volume also exist. Additionally, by applying Granger’s causality test, we find that return volatility contains information about upcoming trading volume and vice versa.O presente trabalho investiga a relação empírica entre retorno acionário, volatilidade dos retornos e volume de negócios no mercado de ações brasileiro (Bovespa). A amostra compreende dados de retorno acionário e volume de negócios de uma carteira teórica envolvendo ações participantes do Índice Bovespa (Ibovespa) no período de 03/01/2000 a 29/12/2005. Os métodos empíricos utilizados incluem análise de correlação cruzada, testes de raízes unitárias, análise de regressão bivariada com equações simultâneas, modelos GARCH e VAR e testes de causalidade Granger. Encontrou-se suporte tanto para uma relação contemporânea quanto dinâmica entre retorno acionário e volume de negócios, implicando que previsões de uma dessas variáveis só poderão ser ligeiramente melhoradas pelo conhecimento prévio da outra. Além disso, os resultados indicam que também existem relações contemporâneas e dinâmicas entre volatilidade de retornos e volume de negócios. Adicionalmente, aplicando o teste de causalidade Granger, verifica-se que a volatilidade de retornos contém informações sobre volume de negócios futuros e vice-versa.FUCAPE Business Shool2008-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/44710.15728/bbr.2008.5.1.1Brazilian Business Review; Vol. 5 No. 1 (2008): January to April 2008; 1-17Brazilian Business Review; v. 5 n. 1 (2008): Janeiro a Abril de 2008; 1-171808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/447/676http://www.bbronline.com.br/index.php/bbr/article/view/447/677Copyright (c) 2008 Brazilian Business Reviewhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessMedeiros, Otávio Ribeiro deDoornik, Bernardus Ferdinandus Nazar Van2018-11-06T19:59:09Zoai:ojs.pkp.sfu.ca:article/447Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:59:09BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
A Relação Empírica entre Dividendos, Volatilidade de Retornos e Volume de Negócios no Mercado de Ações Brasileiro
title The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
spellingShingle The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
Medeiros, Otávio Ribeiro de
return volatility
trading volume
GARCH
VAR
Granger causality
dividendos
volatilidade de retornos
volume de negócios
GARCH
VAR
causalidade Granger
title_short The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
title_full The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
title_fullStr The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
title_full_unstemmed The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
title_sort The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market
author Medeiros, Otávio Ribeiro de
author_facet Medeiros, Otávio Ribeiro de
Doornik, Bernardus Ferdinandus Nazar Van
author_role author
author2 Doornik, Bernardus Ferdinandus Nazar Van
author2_role author
dc.contributor.author.fl_str_mv Medeiros, Otávio Ribeiro de
Doornik, Bernardus Ferdinandus Nazar Van
dc.subject.por.fl_str_mv return volatility
trading volume
GARCH
VAR
Granger causality
dividendos
volatilidade de retornos
volume de negócios
GARCH
VAR
causalidade Granger
topic return volatility
trading volume
GARCH
VAR
Granger causality
dividendos
volatilidade de retornos
volume de negócios
GARCH
VAR
causalidade Granger
description We investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH and VAR models, and Granger causality tests. We find support for a contemporaneous as well as a dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. Besides, our results indicate that contemporaneous and dynamic relationships between return volatility and trading volume also exist. Additionally, by applying Granger’s causality test, we find that return volatility contains information about upcoming trading volume and vice versa.
publishDate 2008
dc.date.none.fl_str_mv 2008-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/447
10.15728/bbr.2008.5.1.1
url http://www.bbronline.com.br/index.php/bbr/article/view/447
identifier_str_mv 10.15728/bbr.2008.5.1.1
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/447/676
http://www.bbronline.com.br/index.php/bbr/article/view/447/677
dc.rights.driver.fl_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 5 No. 1 (2008): January to April 2008; 1-17
Brazilian Business Review; v. 5 n. 1 (2008): Janeiro a Abril de 2008; 1-17
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
_version_ 1754732238675640320

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