Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong

Richard Yan Ki Ho; Stephen Y L Cheung; Daniel W.W. Cheung

doi:10.1016/0927-538X(93)90009-7

Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong

Richard Yan Ki Ho^*, Stephen Y L Cheung, Daniel W.W. Cheung

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

8 Citations (Scopus)

Abstract

Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger.

Original language	English
Pages (from-to)	203-214
Number of pages	12
Journal	Pacific Basin Finance Journal
Volume	1
Issue number	2
DOIs	https://doi.org/10.1016/0927-538X(93)90009-7
Publication status	Published - May 1993

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined Keywords

Asian market
Causality
Hong Kong
Intraday
Stock prices
Trading volume

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10.1016/0927-538X(93)90009-7

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@article{579ab5f886194aa4b276643a94e4cce3,

title = "Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong",

abstract = "Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger.",

keywords = "Asian market, Causality, Hong Kong, Intraday, Stock prices, Trading volume",

author = "Ho, {Richard Yan Ki} and Cheung, {Stephen Y L} and Cheung, {Daniel W.W.}",

note = "Funding Information: Correspondence to: R. Yan-Ki Ho, Department of Economics and Finance, City Polytechnic of kiong Z(opg. 83 Tat Chee Avenue, Hong Kong. Fax: 7888806, e-mall:efrykh+,+ cphkvx.bitnet. {"}This stud', is supported by the Faculty Research Grant of the Hong Kong Baptist College. The authors wish to thank Mr. K.W. Luk for supplying the data and Mr. S.C. Mak for computation assistance. 'Cec Karpoffl1987) for a survey of the studies on the price-volu;., relationship up to 1987.",

year = "1993",

month = may,

doi = "10.1016/0927-538X(93)90009-7",

language = "English",

volume = "1",

pages = "203--214",

journal = "Pacific Basin Finance Journal",

issn = "0927-538X",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong

AU - Ho, Richard Yan Ki

AU - Cheung, Stephen Y L

AU - Cheung, Daniel W.W.

N1 - Funding Information: Correspondence to: R. Yan-Ki Ho, Department of Economics and Finance, City Polytechnic of kiong Z(opg. 83 Tat Chee Avenue, Hong Kong. Fax: 7888806, e-mall:efrykh+,+ cphkvx.bitnet. "This stud', is supported by the Faculty Research Grant of the Hong Kong Baptist College. The authors wish to thank Mr. K.W. Luk for supplying the data and Mr. S.C. Mak for computation assistance. 'Cec Karpoffl1987) for a survey of the studies on the price-volu;., relationship up to 1987.

PY - 1993/5

Y1 - 1993/5

N2 - Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger.

AB - Using 15-minute data on stock returns and trading volume on one of the most open markets in Asia-Hong Kong, it is found that the return series has both day-of-the-week and time-of-the-day effects while the volume series is dominated by the time-of-the-day effect. There exists a significantly positive relationship between the absolute returns and trading volume and the relationship is asymmetric in that the relationship is stronger for positive returns than for non-positive ones. It is also found that returns cause volume changes unidirectionally in the sense of Granger.

KW - Asian market

KW - Causality

KW - Hong Kong

KW - Intraday

KW - Stock prices

KW - Trading volume

UR - http://www.scopus.com/inward/record.url?scp=38249004009&partnerID=8YFLogxK

U2 - 10.1016/0927-538X(93)90009-7

DO - 10.1016/0927-538X(93)90009-7

M3 - Journal article

AN - SCOPUS:38249004009

SN - 0927-538X

VL - 1

SP - 203

EP - 214

JO - Pacific Basin Finance Journal

JF - Pacific Basin Finance Journal

IS - 2

ER -

Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong

Abstract

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