Price-Volume Relations of DAX Companies

This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of DAX companies. Contemporaneous as well as dynamic interactions are investigated for a period from January 1994 to December 2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition, we establish that lagged return volatility induces trading volume movements.Finally, we examine dependencies in the tails and find no significant support for the hypothesis of the independence of the maximal values of absolute returns and trading volume