Abstract

ROJAS, Emilio  and  KRISTJANPOLLER, Werner. Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets. Lect. Econ. [online]. 2015, n.83, pp.9-31. ISSN 0120-2596.  https://doi.org/10.17533/udea.le.n83a01.

This paper examines the relationship between daily returns and trading volumes using the Granger causality test and, additionally, the day-of-the-week effect in the main Latin American stock markets for the period 1998-2014. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. This study utilizes heteroskedastic variance models and vector autoregression (VAR). Results indicate the presence of a strong day-of-the-week effect in volume and evidence of causality from stock market return over transaction volume variation for almost all analyzed markets.

Keywords : price-volume relationship; day-of-the-week effect; emerging markets; Granger causality.

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