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Stock prices and trading volume: An assessment for linear and nonlinear Granger causality

โœ Scribed by Abdul Rashid

Book ID
113470146
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
214 KB
Volume
18
Category
Article
ISSN
1049-0078

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An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets
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article examines the relationship between returns and trading volume for three petroleum futures contracts. Using daily data on futures prices and trading volume, the study first tests for linear causality between returns and volume. The results of this linear causality test show that futures return