Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market

Anthony Miloudi Mondher Bouattour 1 Ramzi Benkraiem 2
1 LGC - Laboratoire de Gestion et de Cognition
2 Audencia Business School
Abstract : This paper investigates the relations between market turnover, stock returns and conditional volatility on the French stock market. Our database consists of monthly observations of 128 common stocks from April 1996 to October 2014. We aggregate data to study the market-wide relationships between turnover, returns and volatility. Using contemporaneous relations, bivariate vector autoregression (VAR), Granger causality test and impulse response functions, we find that market turnover is positively related to contemporaneous and past returns, which we interpret as evidence of the mixture of distributions hypothesis (MDH) and the investor overconfidence hypothesis. This suggests that stock returns help forecast volume. However, there is weaker evidence regarding the informative content of trading volume when forecasting returns.
Keywords : Impulse response functions. VAR analysis Granger causality test Turnover Stock market returns
Type de document :
Article dans une revue
Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2016, 144, pp.44-58
Liste complète des métadonnées
http://hal-audencia.archives-ouvertes.fr/hal-01363700
Contributeur : Ramzi Benkraiem <>
Soumis le : dimanche 11 septembre 2016 - 11:31:04
Dernière modification le : vendredi 28 octobre 2016 - 15:01:17

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  • HAL Id : hal-01363700, version 1

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AUDENCIA | UNAM | UNIV-TLSE3

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Anthony Miloudi, Mondher Bouattour, Ramzi Benkraiem. Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2016, 144, pp.44-58. 〈hal-01363700〉

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