| dc.description.abstract | This study aims to examine the relationship between trading volume, stock return, and volatility in Vietnamese stock market through testing on stocks that have been listed on VN30 since the index was established (February 2nd, 2012) up to February 2nd, 2016. Daily data of stock trading volume and price is collected and calculated by Vector Auto-regressive, Granger causality and Impulse response function to measure the correlation between trading volume and stock return. The result shows that many stock returns have positive relationship with lagged volume but the majority of them do not have significant relationship with lagged return. Meanwhile, trading volume is found to be auto-correlated up to lag 3 for all stocks and the correlations between trading volume and lagged return are significantly negative. Many stocks in VN30 contain bi-directional Granger causal relationship between stock return and trading volume.
The relationship of trading volume and volatility is measured by GARCH (1,1) model. The relationship between trading volume and volatility is found to be positive and statistically significant in most of the stocks. This finding supports Mixture of distribution hypothesis (MDH) that volatility and trading volume have positive correlation since they both affected by the same unobservable information flows. Moreover, the presence of trading volume significantly reduces volatility persistence, which is also consistent with MDH predictions that heteroskedasticity persistence is significantly absorbed by trading volume effect. | en_US |
