Asymmetry in the price-volume relation: evidence based on individual company stocks traded in an emerging stock market

We test for asymmetry in the price-volume relation, using a sample of 36 individual stocks listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric autoregressive distributed lag (ARDL) model that relates trading volume to positive and negative price changes. The results indicate the existence of a robust asymmetric price-volume relation whereby trading volume tends to be higher in a rising market than in a falling market.

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Year of publication:	2008
Authors:	Al-Saad, Khalid ; Moosa, Imad
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 2, p. 151-155
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988281