Intraday Price And Volume Relations In The Stock And Varrant Markets
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Date
2004-04
Authors
KOK SEE, LIM
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Abstract
This research paper examines the causal structure of price and volume in the warrant and
stock markets within the Kuala Lumpur Stock Exchange (KLSE) of Malaysia. We
investigate the intraday relations between price and trading volume of the top 25 most
active warrants and their underlying stocks during the period from 24th September to 16th
December 2003. The data were grouped into 5-minute intervals for this study. Unit root,
cointegration, vector error correction (VEC) and Granger causality tests were used to
analyse the lead-lag between price and volume of the warrant and stock markets. Our
results show that volume leads price for both stock and warrant markets. Warrant leads
stock in both volume and price. Warrant volume leads stock price, and stock volume
leads warrant price.
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Keywords
Intraday Price And Volume Relations , In The Stock And Varrant Markets