An Empirical Analysis of Bank Stock Volatility and Trading Volume: Malaysian Evidence
DOI:
https://doi.org/10.66674/vyy7v330Keywords:
returns, volatility, trading volume, bank stockAbstract
This paper investigates whether trading volume contain information to predict daily stock returns volatility banks traded on the Kuala Lumpur Stock Exchange and the financial index. Two competitive that provide theoretical explanation for the observed correlation between price variability and volume are tested. Using GARCH model, the findings provide strong evidence supporting for mixture of distribution hypothesis' (MDH) casting doubt on predictability power of trading volume volume volatility. The finding also suggests the possibility of other variables beside trading volume can explain current volatility for banks with thin trading volume The finding also suggests the possibility of other variables beside trading volume can explain current volatility for banks with thin trading volume
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Copyright (c) 2000 Wan Mansor Wan Mahmood (Author)
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Authors retain copyright and grant Capital Markets Review the right of first publication. Articles are published under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence: https://creativecommons.org/licenses/by/4.0/. This licence permits sharing and adaptation for any purpose, including commercial use, provided appropriate credit is given, a link to the licence is supplied and any changes are indicated. Third-party material excluded from the article's licence must be clearly identified, and authors are responsible for obtaining any required permission.
