Lee, Cheng F; Rui, Oliver M - In: Review of Quantitative Finance and Accounting 14 (2000) 4, pp. 341-60
This paper examines empirical contemporaneous and causal relationships between trading volume, stock returns and return volatility in China's four stock exchanges and across these markets. We find that trading volume does not Granger-cause stock market returns on each of the markets. As for the...