Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach

Finance Research Letters 6 (2009) 202–209

Posted: 31 Mar 2013

See all articles by Cathy Ning

Cathy Ning

Ryerson University

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Date Written: 2009

Abstract

A copula approach is used to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that there is significant and asymmetric return-volume dependence at extremes for these markets. In particular, extremely high returns (large gains) tend to be associated with extremely large trading volumes, but extremely low returns (big losses) tend not to be related to either large or small volumes.

Keywords: Return–volume dependence, Extreme returns, Copulas, Tail dependence

JEL Classification: C14, C51, G01, G12

Suggested Citation

Ning, Cathy and Wirjanto, Tony S., Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach (2009). Finance Research Letters 6 (2009) 202–209, Available at SSRN: https://ssrn.com/abstract=2241801

Cathy Ning

Ryerson University ( email )

350 Victoria Street
Toronto, Ontario M5B 2K3
Canada
416-979-5000 ext. 6181 (Phone)
(416) 598-5916 (Fax)

HOME PAGE: http://www.ryerson.ca/economics/faculty/ningc.html

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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